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A pairwise likelihood-based approach for changepoint detection in multivariate time series models

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References

2012Optimal Detection of Changepoints With a Linear Computational Cost2,578 cited
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2009Break detection in the covariance structure of multivariate time series models313 cited
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2006Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison181 cited
2012Estimating Space and Space-Time Covariance Functions for Large Data Sets: A Weighted Composite Likelihood Approach162 cited
2014Detection of Multiple Structural Breaks in Multivariate Time Series107 cited
2008Break Detection for a Class of Nonlinear Time Series Models96 cited
2010An MDL approach to the climate segmentation problem83 cited

Cited by

2020Change-point methods for multivariate time-series: paired vectorial observations15 cited
2019Multiple changepoint detection with partial information on changepoint times12 cited

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