Detecting abrupt changes in a piecewise locally stationary time series

DOI10.1016/J.JMVA.2007.06.010MaRDI QIDQ2482613zbMATH OpenOpenAlexWikidataFDO

Authors Michael Last, Robert H. Shumway

Publication date 23 April 2008

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2007.06.010

zbMATH Keywords

change-pointfrequency domainKullback-Leiblerlocally stationary

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Recommendations

• Time-Dependent Spectral Analysis of Nonstationary Time Series
• Nonparametric change point detection in multivariate piecewise stationary time series
• Detecting gradual changes in locally stationary processes
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• Discrimination of locally stationary time series using wavelets

Cites work

• A more general central limit theorem for m-dependent random variables with unbounded m
• A stabilized bandwidth selection method for kernel smoothing of the periodogram.
• Automatic Statistical Analysis of Bivariate Nonstationary Time Series
• Discrimination and Classification of Nonstationary Time Series Using the SLEX Model
• Discrimination and Clustering for Multivariate Time Series
• scientific article; zbMATH DE number 991833 (Why is no real title available?)
• scientific article; zbMATH DE number 3502569 (Why is no real title available?)
• scientific article; zbMATH DE number 838305 (Why is no real title available?)
• scientific article; zbMATH DE number 1447423 (Why is no real title available?)
• On the Kullback-Leibler information divergence of locally stationary processes
• TESTS FOR COMPARING TWO ESTIMATED SPECTRAL DENSITIES
• The control of the false discovery rate in multiple testing under dependency.
• Time-Dependent Spectral Analysis of Nonstationary Time Series

Cited in

(13)

• Optimal change point detection in Gaussian processes
• Directed wavelet covariance
• Detecting gradual changes in locally stationary processes
• Detection of locally stationary segments in time series
• Time-Dependent Spectral Analysis of Nonstationary Time Series
• Nonparametric change point detection in multivariate piecewise stationary time series
• scientific article; zbMATH DE number 2154631 (Why is no real title available?)
• BOOTSTRAP INFERENCE FOR MULTIPLE CHANGE-POINTS IN TIME SERIES
• Subsampling tests for variance changes in the presence of autoregressive parameter shifts
• Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models
• Change-point analysis of time series with evolutionary spectra
• A Dirichlet Process Gaussian State Machine Model for Change Detection in Transient Processes
• Frequency Detection and Change Point Estimation for Time Series of Complex Oscillation

Describes a project that uses

Uses Software

• SLEX
• astsa
• R

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