Multiscale spectral analysis for detecting short and long range change points in time series

DOI10.1016/j.csda.2007.10.027zbMath1452.62668OpenAlexW2042049813MaRDI QIDQ1023672

Lena Ringstad Olsen, Fred Godtliebsen, Probal Chaudhuri

Publication date: 12 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2007.10.027

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items

Statistical Scale Space Methods, Theoretical investigation of an exploratory approach for log-density in scale-space, A weighted \(\chi^2\) test to detect the presence of a major change point in non-stationary Markov chains, Nonparametric estimation of single-index models in scale-space, Modelling the US, UK and Japanese unemployment rates: fractional integration and structural breaks

Uses Software

• SLEX
• astsa
• wmtsa
• SiZer

Cites Work

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