Detection of a changepoint, a mean-shift accompanied with a trend change, in short time-series with autocorrelation

DOI10.1080/03610918.2014.1002849zbMATH Open1462.62553OpenAlexW2622134870MaRDI QIDQ4593906FDOQ4593906

Authors: Erla Sturludottir, Helga Gunnlaugsdottir, Olafur K. Nielsen, Gunnar F. Stefánsson 

Publication date: 15 November 2017

Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2014.1002849

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zbMATH Keywords

changepointautocorrelationlikelihood ratio testtime-series

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical tables (62Q05)

Cited In (4)

• Testing for autocovariances changes in time series models with nonparametric trends
• Detecting Abrupt Changes in the Presence of Local Fluctuations and Autocorrelated Noise
• Maximum likelihood estimation of the change point in stationary state of auto regressive moving average (ARMA) models, using SVD-based smoothing
• Nonparametric Bayesian online change point detection using kernel density estimation with nonparametric hazard function

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