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Detection of multiple changes in a sequence of dependent variables · Study

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ArticleDetection of multiple changes in a sequence of dependent variables

Marc Lavielle1999

OA

Articlebronze1999

Detection of multiple changes in a sequence of dependent variables

231 citations·0/0 files stored·Stochastic Processes and their Applications

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Advanced Statistical Process Monitoring Statistical Methods and Inference Bayesian Methods and Mixture Models

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References

1995Detection of Abrupt Changes: Theory and Applications.1988Estimating the number of change-points via Schwarz' criterion 1993Nonparametric Methods in Change-Point Problems 1994LEAST SQUARES ESTIMATION OF A SHIFT IN LINEAR PROCESSES 1985Testing and estimating change-points in time series 2000Least‐squares Estimation of an Unknown Number of Shifts in a Time Series

Cited by

2006Detection of multiple change-points in multivariate time series 2015The Power of the Pruned Exact Linear Time(PELT) Test in Multiple Changepoint Detection 2017A heuristic, iterative algorithm for change-point detection in abrupt change models 2009Structural Breaks in Financial Time Series 2020Univariate mean change point detection: Penalization, CUSUM and optimality 2006Adaptive Detection of Multiple Change-Points in Asset Price Volatility 2000The Multiple Change-Points Problem for the Spectral Distribution 2018Tail-greedy bottom-up data decompositions and fast multiple change-point detection

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2010Testing for Change Points in Time Seriesarticle · 4 shared references 2006Adaptive Detection of Multiple Change-Points in Asset Price Volatilitychapter · 4 shared references 2000The Multiple Change-Points Problem for the Spectral Distributionarticle · 4 shared references 2002Off-Line Statistical Process Controlchapter · 4 shared references 2012Structural breaks in time seriesarticle · 3 shared references 2002Detecting multiple breaks in financial market volatility dynamicsarticle · 3 shared references

Details

Year1999

Typearticle

Published1999-09-01

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations231

Files0 public / 0

ShelfAdvanced Statistical Process Monitoring

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doi10.1016/s0304-4149(99)00023-x

openalex_workW2172176129

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