An Algorithm Based on Singular Spectrum Analysis for Change-Point Detection

DOI10.1081/SAC-120017494zbMath1075.62625OpenAlexW2119556746WikidataQ59843935 ScholiaQ59843935MaRDI QIDQ4707009

Anatoly A. Zhigljavsky, Valentina G. Moskvina

Publication date: 4 June 2003

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

Full work available at URL: https://doi.org/10.1081/sac-120017494

zbMATH Keywords

Change-point detection, Singular-spectrum analysis, Sequential algorithm, Singular value decomposition

Mathematics Subject Classification ID

Inference from stochastic processes and spectral analysis (62M15) Sequential statistical analysis (62L10)

Related Items (14)

Constrained motif discovery in time series ⋮ Approximations for the boundary crossing probabilities of moving sums of normal random variables ⋮ Multivariate singular spectrum analysis for forecasting revisions to real-time data ⋮ Density-Difference Estimation ⋮ Direct Learning of Sparse Changes in Markov Networks by Density Ratio Estimation ⋮ Tourist number prediction of historic buildings by singular spectrum analysis ⋮ A study of singular spectrum analysis with global optimization techniques ⋮ Approximations for the boundary crossing probabilities of moving sums of random variables ⋮ Approximations of the boundary crossing probabilities for the maximum of moving weighted sums ⋮ Detection of changes in non-linear dynamics for time series based on the theory of \(\mathrm{KM}_2 \mathrm O\)-Langevin equations ⋮ Predicting daily exchange rate with singular spectrum analysis ⋮ Singular spectrum analysis based on the minimum variance estimator ⋮ Change-point detection in time-series data by relative density-ratio estimation ⋮ Sequential change‐point detection based on direct density‐ratio estimation

Cites Work

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