Detecting changes in the fluctuations of a Gaussian process and an application to heartbeat time series

arXiv0712.1157MaRDI QIDQ6207767FDOQ6207767

Authors: Jean-Marc Bardet, Imen Kammoun 

Publication date: 7 December 2007

Abstract: The aim of this paper is first the detection of multiple abrupt changes of the long-range dependence (respectively self-similarity, local fractality) parameters from a sample of a Gaussian stationary times series (respectively time series, continuous-time process having stationary increments). The estimator of the $m$ change instants (the number $m$ is supposed to be known) is proved to satisfied a limit theorem with an explicit convergence rate. Moreover, a central limit theorem is established for an estimator of each long-range dependence (respectively self-similarity, local fractality) parameter. Finally, a goodness-of-fit test is also built in each time domain without change and proved to asymptotically follow a Khi-square distribution. Such statistics are applied to heart rate data of marathon's runners and lead to interesting conclusions.

This page was built for publication: Detecting changes in the fluctuations of a Gaussian process and an application to heartbeat time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6207767)