Bayesian methods for change-point detection in long-range dependent processes
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Publication:3440773
Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical analysis or methods applied to Markov chains (65C40)
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- scientific article; zbMATH DE number 3878196
Cites work
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Bayes inference in regression models with ARMA\((p,q)\) errors
- Estimation and comparison of multiple change-point models
- scientific article; zbMATH DE number 847242 (Why is no real title available?)
- Long memory and regime switching
- Self-similarity index estimation via wavelets for locally self-similar processes
- State space modeling of long-memory processes
- Testing for structural change in a long-memory environment
- The detection and estimation of long memory in stochastic volatility
- Time series: theory and methods
Cited in
(38)- On parameter estimation for locally stationary long-memory processes
- A simple test of changes in mean in the possible presence of long-range dependence
- Multi-scale detection of rate changes in spike trains with weak dependencies
- A frequency domain test for detecting nonstationary time series
- Long memory and nonlinearities in realized volatility: a Markov switching approach
- Bayesian inference of multiple structural change models with asymmetric GARCH errors
- Bayesian multiple changepoints detection for Markov jump processes
- Data-driven semi-parametric detection of multiple changes in long-range dependent processes
- Exact Bayesian inference for off-line change-point detection in tree-structured graphical models
- Stochastic learning-based weak estimation of multinomial random variables and its applications to pattern recognition in non-stationary environments
- Analytical Bayes estimator and distribution for outlier infested time series data
- A new time-varying model for forecasting long-memory series
- Bayesian analysis of a linear model involving structural changes in either regression parameters or disturbances precision
- Change-point detection with rank statistics in long-memory time-series models
- Gaussian processes for time-series modelling
- Monitoring the parameter changes in general ARIMA time series models
- A generalized ARFIMA process with Markov-switching fractional differencing parameter
- Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
- Quadrant scan for multi-scale transition detection
- Estimating a change point in the long memory parameter
- Time varying long memory parameter estimation for locally stationary long memory processes
- Convergence of Griddy Gibbs sampling and other perturbed Markov chains
- A Bayesian approach for locating change points in a compound Poisson process with application to detecting DNA copy number variations
- Structural changes estimation for strongly dependent processes
- A self-normalized semi-parametric test to detect changes in the long memory parameter
- Testing and estimating for change in long memory parameter
- Piecewise FARIMA models for long-memory time series
- Local linear estimation for regression models with locally stationary long memory errors
- Locally stationary long memory estimation
- On optimal segmentation and parameter tuning for multiple change-point detection and inference
- Detecting structured signals in Ising models
- Minimal model of diffusion with time changing Hurst exponent
- Detecting changes from short to long memory
- Local Whittle estimation in time-varying long memory series
- A new online learning algorithm for streaming data and decision support with a Bayesian approach
- Bootstrap testing for discontinuities under long-range dependence
- A simple fractionally integrated model with a time-varying long memory parameter \(d_t\)
- Bayesian variable window scan statistics
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