The Development of an Information Criterion for Change-Point Analysis

DOI10.1162/NECO_a_00809zbMath1418.62198arXiv1505.05572OpenAlexW2208604909WikidataQ40140194 ScholiaQ40140194MaRDI QIDQ5380406

Paul A. Wiggins, Colin H. Lamont

Publication date: 4 June 2019

Published in: Neural Computation (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.05572

zbMATH Keywords

noiseinformation criterionchange-point analysistime series data

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical aspects of information-theoretic topics (62B10)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Understanding predictive information criteria for Bayesian models
• The maximum likelihood method for testing changes in the parameters of normal observations
• Testing for changes in multivariate dependent observations with an application to temperature changes
• Generalized methods and solvers for noise removal from piecewise constant signals. I. Background theory
• Generalized methods and solvers for noise removal from piecewise constant signals. II. New methods
• A test for a change in a parameter occurring at an unknown point
• On problems in which a change in a parameter occurs at an unknown point
• Algebraic Geometry and Statistical Learning Theory
• Testing a Sequence of Observations for a Shift in Location
• Model Selection and Multimodel Inference
• ON CHANGE POINT DETECTION AND ESTIMATION