Dynamic detection of change points in long time series
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Publication:995801
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Cites work
- scientific article; zbMATH DE number 1944323 (Why is no real title available?)
- scientific article; zbMATH DE number 1500585 (Why is no real title available?)
- scientific article; zbMATH DE number 2117879 (Why is no real title available?)
- A Bayesian Analysis for Change Point Problems
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- Bayesian Retrospective Multiple-Changepoint Identification
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- Efficient Bayesian Inference for Dynamic Mixture Models
- Estimation and comparison of multiple change-point models
- Filtering via Simulation: Auxiliary Particle Filters
- Following a moving target -- Monte Carlo inference for dynamic Bayesian models
- Mixture Kalman Filters
- Monte Carlo Smoothing for Nonlinear Time Series
- On Gibbs sampling for state space models
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- Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
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- Sequential Monte Carlo Methods in Practice
- State space and hidden Markov models
- The simulation smoother for time series models
- Weak convergence and optimal scaling of random walk Metropolis algorithms
Cited in
(31)- Sequential methods for multistate processes
- Interaction between stock indices via changepoint analysis
- Long signal change-point detection
- An exact approach to Bayesian sequential change point detection
- Bayesian multiple changepoint detection with missing data and its application to the magnitude-frequency distributions
- Change detection in autoregressive time series
- Adaptive MCMC for multiple changepoint analysis with applications to large datasets
- A consistent on‐line Bayesian procedure for detecting change points
- Multiscale spectral analysis for detecting short and long range change points in time series
- Bayesian forecasting and detecting structural changepoints in dynamic models
- Dynamic changepoint detection in count time series: a particle filter approach
- Scalable Bayesian Multiple Changepoint Detection via Auxiliary Uniformisation
- On-line changepoint detection and parameter estimation with application to genomic data
- Stability of Feynman-Kac formulae with path-dependent potentials
- On a nonparametric change point detection model in Markovian regimes
- Stochastic change-point ARX-GARCH models and their applications to econometric time series
- Sequential change point detection in molecular dynamics trajectories
- Bayesian change point detection for functional data
- Investigation of structural changes of continuous-time asset return models
- On rapid change points under long memory
- Off-Line Detection of Multiple Change Points by the Filtered Derivative withp-Value Method
- Changepoint detection in non-exchangeable data
- Sequential importance sampling for online Bayesian changepoint detection
- Marginal likelihood change detection: particle filter approach
- Change point detection for the mean of long range dependence sequence
- Asymmetric volatility models with structural breaks
- Real time detection of structural breaks in GARCH models
- Bayesian multiple changepoint detection for stochastic models in continuous time
- A pruned recursive solution to the multiple change point problem
- A Kalman particle filter for online parameter estimation with applications to affine models
- Monitoring mean and variance change-points in long-memory time series
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