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

DOI10.1080/03610918.2014.1002849MaRDI QIDQ4593906zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• Testing for change-point of the first-order autoregressive time series models
• Testing for autocovariances changes in time series models with nonparametric trends
• Mean shift testing in correlated data
• Testing and estimating change-points in time series
• Change detection in autoregressive time series

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

This page was built for publication: Detection of a changepoint, a mean-shift accompanied with a trend change, in short time-series with autocorrelation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4593906)