Bayesian methods for change-point detection in long-range dependent processes
From MaRDI portal
Publication:3440773
DOI10.1111/1467-9892.00286zbMath1114.62092OpenAlexW3122207805MaRDI QIDQ3440773
Publication date: 29 May 2007
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9892.00286
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bayesian inference (62F15) Numerical analysis or methods applied to Markov chains (65C40)
Related Items (34)
On optimal segmentation and parameter tuning for multiple change-point detection and inference ⋮ A frequency domain test for detecting nonstationary time series ⋮ Stochastic learning-based weak estimation of multinomial random variables and its applications to pattern recognition in non-stationary environments ⋮ Testing and estimating for change in long memory parameter ⋮ Piecewise FARIMA models for long-memory time series ⋮ Combining long memory and level shifts in modelling and forecasting the volatility of asset returns ⋮ Time varying long memory parameter estimation for locally stationary long memory processes ⋮ A new time-varying model for forecasting long-memory series ⋮ Long memory and nonlinearities in realized volatility: a Markov switching approach ⋮ Gaussian processes for time-series modelling ⋮ Convergence of Griddy Gibbs sampling and other perturbed Markov chains ⋮ Detecting structured signals in Ising models ⋮ Minimal model of diffusion with time changing Hurst exponent ⋮ Analytical Bayes estimator and distribution for outlier infested time series data ⋮ Data-driven semi-parametric detection of multiple changes in long-range dependent processes ⋮ A Bayesian approach for locating change points in a compound Poisson process with application to detecting DNA copy number variations ⋮ A simple fractionally integrated model with a time-varying long memory parameter \(d_t\) ⋮ Detecting changes from short to long memory ⋮ Bayesian variable window scan statistics ⋮ Local linear estimation for regression models with locally stationary long memory errors ⋮ Locally stationary long memory estimation ⋮ Monitoring the parameter changes in general ARIMA time series models ⋮ 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 ⋮ Bayesian analysis of a linear model involving structural changes in either regression parameters or disturbances precision ⋮ On parameter estimation for locally stationary long-memory processes ⋮ CHANGE-POINT DETECTION WITH RANK STATISTICS IN LONG-MEMORY TIME-SERIES MODELS ⋮ Structural changes estimation for strongly dependent processes ⋮ Quadrant scan for multi-scale transition detection ⋮ A generalized ARFIMA process with Markov-switching fractional differencing parameter ⋮ A Self‐Normalized Semi‐Parametric Test to Detect Changes in the Long Memory Parameter ⋮ Estimating a change point in the long memory parameter ⋮ Bayesian inference of multiple structural change models with asymmetric GARCH errors ⋮ Bootstrap testing for discontinuities under long-range dependence
Cites Work
- Unnamed Item
- Time series: theory and methods
- Estimation and comparison of multiple change-point models
- Bayes inference in regression models with ARMA\((p,q)\) errors
- The detection and estimation of long memory in stochastic volatility
- State space modeling of long-memory processes
- Testing for structural change in a long-memory environment
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Long memory and regime switching
- Self-similarity index estimation via wavelets for locally self-similar processes
This page was built for publication: Bayesian methods for change-point detection in long-range dependent processes
