Multiscale detection and location of multiple variance changes in the presence of long memory

DOI10.1080/00949650008812056zbMath0958.62088OpenAlexW2036794700MaRDI QIDQ4525907

Brandon Whitcher, Donald B. Percival, Peter Guttorp

Publication date: 8 April 2001

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949650008812056

zbMATH Keywords

discrete wavelet transformhomogeneity of variancecumulative sum of squaresmaximal overlap discrete wavelet transformvertical ocean shear

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Applications of statistics to environmental and related topics (62P12)

Related Items (4)

Analysis of symbolic sequences using the Jensen-Shannon divergence ⋮ Variance change point detection for fractional Brownian motion based on the likelihood ratio test ⋮ Multilayer statistical intrusion detection in wireless networks ⋮ The S-estimator in the change-point random model with long memory

Cites Work

• A Non-Parametric Approach to the Change-Point Problem
• Detection and classification of multiple events in piecewise stationary signals: Comparison between autoregressive and multiscale approaches
• Non-parametric testing for the number of change points in a sequence of independent random variables
• Testing for the number of change points in a sequence of exponential random variables
• A theory for multiresolution signal decomposition: the wavelet representation
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Correlation structure of the discrete wavelet coefficients of fractional Brownian motion
• Ten Lectures on Wavelets
• Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
• Analysis of Subtidal Coastal Sea Level Fluctuations Using Wavelets
• Testing and Locating Variance Changepoints with Application to Stock Prices
• Jump and sharp cusp detection by wavelets
• Inference about the change-point from cumulative sum tests

This page was built for publication: Multiscale detection and location of multiple variance changes in the presence of long memory