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A robust method for shift detection in time series
9 references·2 citing·44 second hop
A robust method for shift detection in time series (2020)A robust method for shift detection in ti…Nuisance-parameter-free changepoint detection in non-stationary series (2019)Nuisance-parameter-free chang…Changepoint Detection in the Presence of Outliers (2017)Changepoint Detection in the …A robust approach for estimating change-points in the mean of an $\operatorname{AR}(1)$ process (2017)A robust approach for estimat…Change-Point Detection Under Dependence Based on Two-Sample U-Statistics (2015)Change-Point Detection Under …Wild binary segmentation for multiple change-point detection (2014)Wild binary segmentation for …THE FUNCTIONAL CENTRAL LIMIT THEOREM AND WEAK CONVERGENCE TO STOCHASTIC INTEGRALS I (2000)THE FUNCTIONAL CENTRAL LIMIT …Limit theorems in change-point analysis (1997)Limit theorems in change-poin…GARCH(1, 1) processes are near epoch dependent (1991)GARCH(1, 1) processes are nea…Invariance principles for changepoint problems (1988)Invariance principles for cha…Optimal difference-based variance estimators in time series: A general framework (2022)Optimal difference-based vari…Change-point detection based on weighted two-sample U-statistics (2022)Change-point detection based …Some Invariance Principles and Central Limit Theorems for Dependent Heterogeneous Processes (1988)Robust Wilcoxon‐Type Estimation of Change‐Point Location Under Short‐Range Dependence (2017)Convergence of U-processes in Hölder spaces with application to robust detection of a changed segment (2020)Sequential change point tests based on U‐statistics (2021)Optimal Detection of Changepoints With a Linear Computational Cost (2012)Multiscale Change Point Inference (2014)On optimal multiple changepoint algorithms for large data (2016)High Dimensional Change Point Estimation via Sparse Projection (2017)Multiple Time Series Regression with Integrated Processes (1986)Understanding spurious regressions in econometrics (1986)Time Series Regression with a Unit Root (1987)Establishing conditions for the functional central limit theorem in nonlinear and semiparametric time series processes (2002)IMPROVING FORECAST ACCURACY BY COMBINING RECURSIVE AND ROLLING FORECASTS* (2009)Advances in Forecast Evaluation (2013)On Tests for Detecting Change in Mean (1975)A Non-Parametric Approach to the Change-Point Problem (1979)Nonparametric statistical procedures for the changepoint problem (1984)Nonparametric tests for the changepoint problem (1987)Nonparametric tests for change-point detection à la Gombay and Horváth (2012)M -statistic for kernel change-point detection (2015)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)ARCH modeling in finance (1992)Nuisance parameter free properties of correlation integral based statistics (1996)Identifying Term Structure Volatility from the LIBOR-Swap Curve (2008)Multi-scale tests for serial correlation (2014)CONTINUOUS INSPECTION SCHEMES (1954)Detecting Abrupt Changes in the Presence of Local Fluctuations and Autocorrelated Noise (2020)Data segmentation algorithms: Univariate mean change and beyond (2021)Real-time Change-Point Detection: A deep neural network-based adaptive approach for detecting changes in multivariate time series data (2022)Dealing with Structural Breaks (2005)Testing for Change Points in Time Series (2010)Changepoint in dependent and non-stationary panels (2020)Multiple change point detection under serial dependence: Wild contrast maximisation and gappy Schwarz algorithm (2023)Estimating the number of change-points via Schwarz' criterion (1988)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)Multiple change point detection and validation in autoregressive time series data (2020)Multiscale change point detection for dependent data (2020)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Optimal Mean-Squared-Error Batch Sizes (1995)Strong rules for detecting the number of breaks in a time series (2003)Penalized Maximal t Test for Detecting Undocumented Mean Change in Climate Data Series (2007)Structural breaks in time series (2012)
this work references cited by second hop

References

  • 1997Limit theorems in change-point analysis1,004 cited
  • 2014Wild binary segmentation for multiple change-point detection721 cited
  • 2017Changepoint Detection in the Presence of Outliers157 cited
  • 2000THE FUNCTIONAL CENTRAL LIMIT THEOREM AND WEAK CONVERGENCE TO STOCHASTIC INTEGRALS I143 cited
  • 1988Invariance principles for changepoint problems91 cited
  • 1991GARCH(1, 1) processes are near epoch dependent61 cited
  • 2017A robust approach for estimating change-points in the mean of an $\operatorname{AR}(1)$ process50 cited
  • 2015Change-Point Detection Under Dependence Based on Two-Sample U-Statistics34 cited
  • 2019Nuisance-parameter-free changepoint detection in non-stationary series32 cited

Cited by

  • 2022Optimal difference-based variance estimators in time series: A general framework24 cited
  • 2022Change-point detection based on weighted two-sample U-statistics8 cited

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