Detection of multiple change-points in multivariate time series
From MaRDI portal
Publication:2471636
DOI10.1007/s10986-006-0028-9zbMath1138.62051MaRDI QIDQ2471636
Marc Lavielle, Gilles Teyssière
Publication date: 18 February 2008
Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10986-006-0028-9
62H12: Estimation in multivariate analysis
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
60F05: Central limit and other weak theorems
62M09: Non-Markovian processes: estimation
Related Items
High Dimensional Change Point Estimation via Sparse Projection, A Nonparametric Approach for Multiple Change Point Analysis of Multivariate Data, Computational approximation of the likelihood ratio for testing the existence of change-points in a heteroscedastic series, Synthetic detection of change point and outliers in bilinear time series models, Comments on: ``Extensions of some classical methods in change point analysis, On optimal segmentation and parameter tuning for multiple change-point detection and inference, Efficient multiple change point detection for high‐dimensional generalized linear models, Neural network approach to the problem of predicting interest rate anomalies under the influence of correlated noise, Generalized multiple change-point detection in the structure of multivariate, possibly high-dimensional, data sequences, Detecting changes in correlation networks with application to functional connectivity of fMRI data, Long signal change-point detection, An ANOVA-type test for multiple change points, Segmentation of the mean of heteroscedastic data via cross-validation, Detecting abrupt changes of the long-range dependence or the self-similarity of a Gaussian process, Activity pattern detection in electroneurographic and electromyogram signals through a heteroscedastic change-point method, Change-point detection in high-dimensional covariance structure, Consistent change-point detection with kernels, Recursive computation of piecewise constant volatilities, Multiple change-points detection by empirical Bayesian information criteria and Gibbs sampling induced stochastic search, Most recent changepoint detection in censored panel data, Asymptotic properties of semiparametric \(M\)-estimators with multiple change points, A computationally efficient and flexible algorithm for high dimensional mean and covariance matrix change point models, On change-point estimation under Sobolev sparsity, Testing for multiple change points, A computational method for the detection of activation/deactivation patterns in biological signals with three levels of electric intensity, The increment ratio statistic, Off-Line Detection of Multiple Change Points by the Filtered Derivative withp-Value Method, Detection of multiple undocumented change-points using adaptive Lasso
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Detection of multiple changes in a sequence of dependent variables
- Estimating the number of change-points via Schwarz' criterion
- Functional CLT for nonparametric estimates of the spectrum and change- point problem for a spectral function
- On tests for detecting change in mean
- Testing and estimating in the change-point problem of the spectral function
- Fitting time series models to nonstationary processes
- Testing for parameter changes in ARCH models
- Change-point estimation in ARCH models
- Fitting multiple change-point models to data
- Empirical process of the squared residuals of an ARCH sequence
- The change-point problem for dependent observations
- Least‐squares Estimation of an Unknown Number of Shifts in a Time Series
- Detection of change points using rank methods
- Minimax Methods for Multihypothesis Sequential Testing and Change-Point Detection Problems
- Multiple changepoints problem-nonparmetric procedures for estimation of the points of change
- Testing a Sequence of Observations for a Shift in Location
- Statistical inference of covariance change points in gaussian model
- Multiple changepoint fitting via quasilikelihood, with application to DNA sequence segmentation
- Detecting parameter shift in garch models
- Random thresholds for linear model selection
- SEQUENTIAL CHANGE-POINT DETECTION IN GARCH(p,q) MODELS
- Gaussian model selection