Detecting abrupt changes in a piecewise locally stationary time series

DOI10.1016/j.jmva.2007.06.010zbMath1139.62050OpenAlexW2004406274WikidataQ36593416 ScholiaQ36593416MaRDI QIDQ2482613

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

frequency domainchange-pointKullback-Leiblerlocally stationary

Mathematics Subject Classification ID

Related Items (6)

Nonparametric change point detection in multivariate piecewise stationary time series ⋮ Subsampling tests for variance changes in the presence of autoregressive parameter shifts ⋮ Optimal change point detection in Gaussian processes ⋮ BOOTSTRAP INFERENCE FOR MULTIPLE CHANGE-POINTS IN TIME SERIES ⋮ Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models ⋮ Directed wavelet covariance

Uses Software

• R
• SLEX
• astsa

Cites Work

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• The control of the false discovery rate in multiple testing under dependency.
• On the Kullback-Leibler information divergence of locally stationary processes
• A more general central limit theorem for \(m\)-dependent random variables with unbounded \(m\)
• TESTS FOR COMPARING TWO ESTIMATED SPECTRAL DENSITIES
• Discrimination and Clustering for Multivariate Time Series
• Automatic Statistical Analysis of Bivariate Nonstationary Time Series
• Time-Dependent Spectral Analysis of Nonstationary Time Series
• Discrimination and Classification of Nonstationary Time Series Using the SLEX Model
• A stabilized bandwidth selection method for kernel smoothing of the periodogram.

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