Quickest detection of changes in the generating mechanism of a time series via the -complexity of continuous functions

DOI10.1080/07474946.2014.896698MaRDI QIDQ5169480zbMATH OpenOpenAlexFDO

Authors B. S. Darkhovskij, Alexandra Piryatinska

Publication date 10 July 2014

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474946.2014.896698

zbMATH Keywords

change point detectioncomplexitytime series

Mathematics Subject Classification ID

Sequential statistical analysis (62L10) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Novel methodology of change-points detection for time series with arbitrary generating mechanisms
• Model-free offline change-point detection in multidimensional time series of arbitrary nature via -complexity: simulations and applications
• New approach to the segmentation problem for time series of arbitrary nature
• Classification of multivariate time series of arbitrary nature based on the \(\epsilon \)-complexity theory
• scientific article; zbMATH DE number 958368

Cites work

• Minimax Methods for Multihypothesis Sequential Testing and Change-Point Detection Problems
• On an approach to the estimation of the complexity of curves (using as an example an electroencephalogram of a Human being)
• Quickest detection problems: fifty years later

Cited in

(6)

• Entropy-randomized projection
• Novel methodology of change-points detection for time series with arbitrary generating mechanisms
• Anomaly detection in complex system based on epsilon machine
• Model-free offline change-point detection in multidimensional time series of arbitrary nature via -complexity: simulations and applications
• New approach to the segmentation problem for time series of arbitrary nature
• Bayesian quickest change detection for unnormalized and score-based models

This page was built for publication: Quickest detection of changes in the generating mechanism of a time series via the \(\epsilon\)-complexity of continuous functions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5169480)