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

DOI10.1080/00949650008812056MaRDI QIDQ4525907zbMATH OpenOpenAlexFDO

Authors Brandon Whitcher, Peter Guttorp, Donald B. Percival

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

homogeneity of variancediscrete wavelet transformcumulative 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)

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Cites work

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

Cited in

(4)

• The S-estimator in the change-point random model with long memory
• 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

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