Multiscale change point detection

DOI10.1137/S0040585X97T988411MaRDI QIDQ4602302zbMATH OpenOpenAlexFDO

Authors Alexandra Suvorikova, V. G. Spokoiny

Publication date 9 January 2018

Published in Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/s0040585x97t988411

zbMATH Keywords

likelihood ratio testmultiplier bootstrapmultiscale change point detectionscrolling window

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Point estimation (62F10) Bootstrap, jackknife and other resampling methods (62F40)

Recommendations

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Cites work

• Bootstrap confidence sets under model misspecification
• Comparison and anti-concentration bounds for maxima of Gaussian random vectors
• Detecting simultaneous change points in multiple sequences
• Gaussian approximations and multiplier bootstrap for maxima of sums of high-dimensional random vectors
• Generalized likelihood ratio statistics and Wilks phenomenon
• Land and stock bubbles, crashes and exit strategies in Japan circa 1990 and in 2013
• Multiscale change point inference. With discussion and authors' reply
• Multiscale local change point detection with applications to value-at-risk
• Parametric estimation. Finite sample theory
• Sharp deviation bounds for quadratic forms
• The Large-Sample Distribution of the Likelihood Ratio for Testing Composite Hypotheses

Cited in

(18)

• Change-point detection, segmentation, and related topics
• Multiscale change point detection for dependent data
• Statistical multiscale segmentation. Inference, algorithms and applications
• Two-stage data segmentation permitting multiscale change points, heavy tails and dependence
• Multiscale spectral analysis for detecting short and long range change points in time series
• Narrowest-Over-Threshold Detection of Multiple Change Points and Change-Point-Like Features
• Scalable change-point and anomaly detection in cross-correlated data with an application to condition monitoring
• The multiple filter test for change point detection in time series
• FDR-control in multiscale change-point segmentation
• Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery
• Finding multiple abrupt change points
• Multiple-Change-Point Detection for High Dimensional Time Series via Sparsified Binary Segmentation
• Heterogeneous change point inference
• Multiscale change point inference. With discussion and authors' reply
• Algorithm for the detection of changes in the dynamics of a multivariate time series via sliced cross-bispectrum
• Multiple changepoint detection in categorical data streams
• Detecting Multiple Change Points: The PULSE Criterion
• Multiple change-point detection: a selective overview

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