Dynamic detection of change points in long time series
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Publication:995801
DOI10.1007/S10463-006-0053-9zbMATH Open1332.62316OpenAlexW2113166878MaRDI QIDQ995801FDOQ995801
Authors: Nicolas Chopin 
Publication date: 10 September 2007
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10463-006-0053-9
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- Stochastic change-point ARX-GARCH models and their applications to econometric time series
Markov chain Monte Carlosequential Monte CarloGARCH modelsparticle filterstate space modelschange point models
Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)
Cites Work
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- Estimation and comparison of multiple change-point models
- Central limit theorem for sequential Monte Carlo methods and its application to Bayesian inference
- Filtering via Simulation: Auxiliary Particle Filters
- The simulation smoother for time series models
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- State space and hidden Markov models
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- Monte Carlo Smoothing for Nonlinear Time Series
- Bayesian Retrospective Multiple-Changepoint Identification
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- Bayesian inference and state number determination for hidden Markov models: an application to the information content of the yield curve about inflation
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- Bayesian Inference and Prediction for Mean and Variance Shifts in Autoregressive Time Series
Cited In (23)
- Changepoint detection in non-exchangeable data
- Real time detection of structural breaks in GARCH models
- Asymmetric volatility models with structural breaks
- Dynamic changepoint detection in count time series: a particle filter approach
- On-line changepoint detection and parameter estimation with application to genomic data
- Bayesian multiple changepoint detection for stochastic models in continuous time
- Sequential change point detection in molecular dynamics trajectories
- A consistent on‐line Bayesian procedure for detecting change points
- Stability of Feynman-Kac formulae with path-dependent potentials
- Interaction between stock indices via changepoint analysis
- A pruned recursive solution to the multiple change point problem
- An exact approach to Bayesian sequential change point detection
- Sequential methods for multistate processes
- Off-Line Detection of Multiple Change Points by the Filtered Derivative withp-Value Method
- Bayesian multiple changepoint detection with missing data and its application to the magnitude-frequency distributions
- A Kalman particle filter for online parameter estimation with applications to affine models
- Monitoring mean and variance change-points in long-memory time series
- Multiscale spectral analysis for detecting short and long range change points in time series
- On rapid change points under long memory
- Scalable Bayesian Multiple Changepoint Detection via Auxiliary Uniformisation
- Change point detection for the mean of long range dependence sequence
- Change detection in autoregressive time series
- Investigation of structural changes of continuous-time asset return models
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