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Autocovariance estimation in the presence of changepoints
14 references·0 citing·25 second hop
Autocovariance estimation in the presence of changepoints (2022)Autocovariance estimation in the presence…A comparison of single and multiple changepoint techniques for time series data (2022)A comparison of single and mu…Inference of Breakpoints in High-dimensional Time Series (2021)Inference of Breakpoints in H…Multiscale change point detection for dependent data (2020)Multiscale change point detec…Detecting Abrupt Changes in the Presence of Local Fluctuations and Autocorrelated Noise (2020)Detecting Abrupt Changes in t…A robust approach for estimating change-points in the mean of an $\operatorname{AR}(1)$ process (2017)A robust approach for estimat…A MOSUM procedure for the estimation of multiple random change points (2017)A MOSUM procedure for the est…On optimal multiple changepoint algorithms for large data (2016)On optimal multiple changepoi…Wild binary segmentation for multiple change-point detection (2014)Wild binary segmentation for …Multiscale Change Point Inference (2014)Multiscale Change Point Infer…A robust approach for estimating change-points in the mean of an AR(1) process (2014)A robust approach for estimat…Optimal Detection of Changepoints With a Linear Computational Cost (2012)Optimal Detection of Changepo…Mean shift testing in correlated data (2011)Mean shift testing in correla…First Order Autoregression: Inference, Estimation, and Prediction (1969)First Order Autoregression: I…CONTINUOUS INSPECTION SCHEMES (1954)CONTINUOUS INSPECTION SCHEMESHeteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Limit theorems in change-point analysis (1997)Changepoint detection in daily precipitation data (2012)Tail-greedy bottom-up data decompositions and fast multiple change-point detection (2018)Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)changepoint : An R Package for Changepoint Analysis (2014)Changepoint Detection in the Presence of Outliers (2017)High Dimensional Change Point Estimation via Sparse Projection (2017)Estimating the number of change-points via Schwarz' criterion (1988)A heuristic, iterative algorithm for change-point detection in abrupt change models (2017)Univariate mean change point detection: Penalization, CUSUM and optimality (2020)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)Inference for Multiple Change Points in Time Series via Likelihood Ratio Scan Statistics (2015)Change-point detection in panel data via double CUSUM statistic (2016)Detection of multiple changes in a sequence of dependent variables (1999)Least‐squares Estimation of an Unknown Number of Shifts in a Time Series (2000)A robust method for shift detection in time series (2020)A Test for a Change in a Parameter Occurring at an Unknown Point (1955)cpop: Detecting Changes in Piecewise-Linear Signals (2024)Selective review of offline change point detection methods (2019)Dynamic panel estimation and homogeneity testing under cross section dependence (2003)Measuring and modeling systematic risk in factor pricing models using high-frequency data (2003)Bias in dynamic panel estimation with fixed effects, incidental trends and cross section dependence (2006)Procedures for Reacting to a Change in Distribution (1971)
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References

  • 1954CONTINUOUS INSPECTION SCHEMES5,731 cited
  • 2012Optimal Detection of Changepoints With a Linear Computational Cost2,578 cited
  • 2014Wild binary segmentation for multiple change-point detection721 cited
  • 2014Multiscale Change Point Inference320 cited
  • 1969First Order Autoregression: Inference, Estimation, and Prediction192 cited
  • 2016On optimal multiple changepoint algorithms for large data187 cited
  • 2017A MOSUM procedure for the estimation of multiple random change points144 cited
  • 2011Mean shift testing in correlated data71 cited
  • 2022A comparison of single and multiple changepoint techniques for time series data52 cited
  • 2017A robust approach for estimating change-points in the mean of an $\operatorname{AR}(1)$ process50 cited
  • 2020Multiscale change point detection for dependent data41 cited
  • 2020Detecting Abrupt Changes in the Presence of Local Fluctuations and Autocorrelated Noise39 cited
  • 2021Inference of Breakpoints in High-dimensional Time Series32 cited
  • 2014A robust approach for estimating change-points in the mean of an AR(1) process16 cited

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