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Multiscale change point detection for dependent data
16 references·12 citing·30 second hop
Multiscale change point detection for dependent data (2020)Multiscale change point detection for dep…Univariate mean change point detection: Penalization, CUSUM and optimality (2020)Univariate mean change point …Tail-greedy bottom-up data decompositions and fast multiple change-point detection (2018)Tail-greedy bottom-up data de…Multiple change-point detection for non-stationary time series using Wild Binary Segmentation (2017)Multiple change-point detecti…Heterogeneous change point inference (2017)Heterogeneous change point in…A MOSUM procedure for the estimation of multiple random change points (2017)A MOSUM procedure for the est…A computationally efficient nonparametric approach for changepoint detection (2016)A computationally efficient n…Uniform change point tests in high dimension (2015)Uniform change point tests in…Inference for Multiple Change Points in Time Series via Likelihood Ratio Scan Statistics (2015)Inference for Multiple Change…Wild binary segmentation for multiple change-point detection (2014)Wild binary segmentation for …Nonparametric maximum likelihood approach to multiple change-point problems (2014)Nonparametric maximum likelih…Multiscale Change Point Inference (2014)Multiscale Change Point Infer…Detection of Multiple Structural Breaks in Multivariate Time Series (2014)Detection of Multiple Structu…A Nonparametric Approach for Multiple Change Point Analysis of Multivariate Data (2013)A Nonparametric Approach for …Optimal Detection of Changepoints With a Linear Computational Cost (2012)Optimal Detection of Changepo…Least‐squares Estimation of an Unknown Number of Shifts in a Time Series (2000)Least‐squares Estimation of a…Estimating the number of change-points via Schwarz' criterion (1988)Estimating the number of chan…Moving Sum Procedure for Change Point Detection under Piecewise Linearity (2024)Moving Sum Procedure for Chan…Multiple change point detection under serial dependence: Wild contrast maximisation and gappy Schwarz algorithm (2023)Multiple change point detecti…Robust multiscale estimation of time-average variance for time series segmentation (2022)Robust multiscale estimation …Optimal difference-based variance estimators in time series: A general framework (2022)Optimal difference-based vari…Bootstrap confidence intervals for multiple change points based on moving sum procedures (2022)Bootstrap confidence interval…Autocovariance estimation in the presence of changepoints (2022)Autocovariance estimation in …Two-stage data segmentation permitting multiscale change points, heavy tails and dependence (2021)Two-stage data segmentation p…mosum: A Package for Moving Sums in Change-Point Analysis (2021)mosum: A Package for Moving S…Are deviations in a gradually varying mean relevant? A testing approach based on sup-norm estimators (2021)Are deviations in a gradually…A distribution free test for changes in the trend function of locally stationary processes (2021)A distribution free test for …Bump detection in the presence of dependency: Does it ease or does it load? (2020)Bump detection in the presenc…A review on minimax rates in change point detection and localisation (2020)A review on minimax rates in …Generalized autoregressive conditional heteroskedasticity (1986)Limit theorems in change-point analysis (1997)Dealing with Structural Breaks (2005)Structural breaks in panel data: Large number of panels and short length time series (2018)A Likelihood Ratio Approach to Sequential Change Point Detection for a General Class of Parameters (2019)Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)changepoint : An R Package for Changepoint Analysis (2014)On optimal multiple changepoint algorithms for large data (2016)Changepoint Detection in the Presence of Outliers (2017)High Dimensional Change Point Estimation via Sparse Projection (2017)Inference About the Change-Point in a Sequence of Random Variables (1970)Nonparametric Methods in Change-Point Problems (1993)Detecting multiple breaks in financial market volatility dynamics (2002)Moment and Memory Properties of Linear Conditional Heteroscedasticity Models, and a New Model (2004)Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets (2013)CONTINUOUS INSPECTION SCHEMES (1954)ecp: AnRPackage for Nonparametric Multiple Change Point Analysis of Multivariate Data (2014)Genre-based L2 writing instruction and writing-specific psychological factors: The dynamics of change (2018)A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’ (1981)Detection of Changes in Multivariate Time Series With Application to EEG Data (2014)Change-point detection in panel data via double CUSUM statistic (2016)A Non-Parametric Approach to the Change-Point Problem (1979)Detecting multiple generalized change-points by isolating single ones (2021)Seeded binary segmentation: a general methodology for fast and optimal changepoint detection (2022)Testing for a Change in Mean after Changepoint Detection (2022)Selective review of offline change point detection methods (2019)M -statistic for kernel change-point detection (2015)Phase I Distribution-Free Analysis of Multivariate Data (2017)Data segmentation algorithms: Univariate mean change and beyond (2021)Occasional structural breaks and long memory with an application to the S&P 500 absolute stock returns (2004)
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References

  • 2012Optimal Detection of Changepoints With a Linear Computational Cost2,578 cited
  • 2014Wild binary segmentation for multiple change-point detection721 cited
  • 1988Estimating the number of change-points via Schwarz' criterion628 cited
  • 2013A Nonparametric Approach for Multiple Change Point Analysis of Multivariate Data545 cited
  • 2014Multiscale Change Point Inference320 cited
  • 2000Least‐squares Estimation of an Unknown Number of Shifts in a Time Series276 cited
  • 2016A computationally efficient nonparametric approach for changepoint detection150 cited
  • 2017A MOSUM procedure for the estimation of multiple random change points144 cited
  • 2014Nonparametric maximum likelihood approach to multiple change-point problems133 cited
  • 2015Uniform change point tests in high dimension132 cited
  • 2014Detection of Multiple Structural Breaks in Multivariate Time Series107 cited
  • 2015Inference for Multiple Change Points in Time Series via Likelihood Ratio Scan Statistics89 cited
  • 2020Univariate mean change point detection: Penalization, CUSUM and optimality83 cited
  • 2017Heterogeneous change point inference72 cited
  • 2017Multiple change-point detection for non-stationary time series using Wild Binary Segmentation

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63 cited
  • 2018Tail-greedy bottom-up data decompositions and fast multiple change-point detection55 cited
  • Cited by

    • 2021mosum: A Package for Moving Sums in Change-Point Analysis36 cited
    • 2022Optimal difference-based variance estimators in time series: A general framework24 cited
    • 2023Multiple change point detection under serial dependence: Wild contrast maximisation and gappy Schwarz algorithm17 cited
    • 2021Are deviations in a gradually varying mean relevant? A testing approach based on sup-norm estimators16 cited
    • 2022Bootstrap confidence intervals for multiple change points based on moving sum procedures14 cited
    • 2020Bump detection in the presence of dependency: Does it ease or does it load?12 cited
    • 2022Autocovariance estimation in the presence of changepoints11 cited
    • 2021Two-stage data segmentation permitting multiscale change points, heavy tails and dependence11 cited
    • 2020A review on minimax rates in change point detection and localisation10 cited
    • 2021A distribution free test for changes in the trend function of locally stationary processes8 cited
    • 2022Robust multiscale estimation of time-average variance for time series segmentation7 cited
    • 2024Moving Sum Procedure for Change Point Detection under Piecewise Linearity7 cited