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Autocovariance estimation in the presence of changepoints · Study

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ArticleAutocovariance estimation in the presence of changepoints

Colin Gallagher2022

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Articlegreen2022

Autocovariance estimation in the presence of changepoints

Colin Gallagher · Rebecca Killick · Robert Lund · Xuesheng Shi

11 citations·0/0 files stored·Journal of the Korean Statistical Society

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Advanced Statistical Process Monitoring Time Series Analysis and Forecasting Statistical and numerical algorithms

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References

1954CONTINUOUS INSPECTION SCHEMES 2012Optimal Detection of Changepoints With a Linear Computational Cost 2014Wild binary segmentation for multiple change-point detection 2014Multiscale Change Point Inference 1969First Order Autoregression: Inference, Estimation, and Prediction 2016On optimal multiple changepoint algorithms for large data 2017A MOSUM procedure for the estimation of multiple random change points 2011Mean shift testing in correlated data

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2021mosum: A Package for Moving Sums in Change-Point Analysisarticle · 7 shared references 2023Multiple change point detection under serial dependence: Wild contrast maximisation and gappy Schwarz algorithmarticle · 7 shared references 2021Two-stage data segmentation permitting multiscale change points, heavy tails and dependencearticle · 7 shared references 2020A review on minimax rates in change point detection and localisationpreprint · 7 shared references 2020Univariate mean change point detection: Penalization, CUSUM and optimalityarticle · 6 shared references 2018Tail-greedy bottom-up data decompositions and fast multiple change-point detectionarticle · 6 shared references

Details

Year2022

Typearticle

Published2022-06-06

VenueJournal of the Korean Statistical Society

ISSN-L1226-3192

Languageen

Citations11

Files0 public / 0

ShelfAdvanced Statistical Process Monitoring

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doi10.1007/s42952-022-00173-5

openalex_workW3131020727

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