Robust multiscale estimation of time-average variance for time series segmentation
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Publication:6166922
DOI10.1016/J.CSDA.2022.107648arXiv2205.11496OpenAlexW4307571509MaRDI QIDQ6166922FDOQ6166922
Authors: Euan T. McGonigle, Haeran Cho 
Publication date: 7 July 2023
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Abstract: There exist several methods developed for the canonical change point problem of detecting multiple mean shifts, which search for changes over sections of the data at multiple scales. In such methods, estimation of the noise level is often required in order to distinguish genuine changes from random fluctuations due to the noise. When serial dependence is present, using a single estimator of the noise level may not be appropriate. Instead, it is proposed to adopt a scale-dependent time-average variance constant that depends on the length of the data section in consideration, to gauge the level of the noise therein. Accordingly, an estimator that is robust to the presence of multiple mean shifts is developed. The consistency of the proposed estimator is shown under general assumptions permitting heavy-tailedness, and its use with two widely adopted data segmentation algorithms, the moving sum and the wild binary segmentation procedures, is discussed. The performance of the proposed estimator is illustrated through extensive simulation studies and on applications to the house price index and air quality data sets.
Full work available at URL: https://arxiv.org/abs/2205.11496
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Cited In (4)
- Segmentation, classification and denoising of a time series field by a variational method
- Multiscale and multilevel technique for consistent segmentation of nonstationary time series
- Moving Sum Procedure for Change Point Detection under Piecewise Linearity
- Errata on ``Multiscale and multilevel technique for consistent segmentation of nonstationary time series
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