dSTEM

CRANdSTEMMaRDI QIDQ5984180FDOQ5984180

Multiple Testing of Local Extrema for Detection of Change Points

Zhibing He

Last update: 21 June 2023

Copyright license: GNU General Public License, version 3.0

Software version identifier: 2.0-1

Description

Simultaneously detect the number and locations of change points in piecewise linear models under stationary Gaussian noise allowing autocorrelated random noise. The core idea is to transform the problem of detecting change points into the detection of local extrema (local maxima and local minima)through kernel smoothing and differentiation of the data sequence, see Cheng et al. (2020) <doi:10.1214/20-EJS1751>. A low-computational and fast algorithm call 'dSTEM' is introduced to detect change points based on the 'STEM' algorithm in D. Cheng and A. Schwartzman (2017) <doi:10.1214/16-AOS1458>.

Cites work

• Multiple Testing of Local Extrema for Detection of Change Points
• Multiple testing of local maxima for detection of peaks in random fields

This page was built for software: dSTEM