A multiple filter test for the detection of rate changes in renewal processes with varying variance

DOI10.1214/14-aoas782zbMath1454.62365arXiv1303.3594OpenAlexW1996929130MaRDI QIDQ146393

Marietta Kirchner, Ralph Neininger, Michael Messer, Gaby Schneider, Jochen Roeper, Julia Schiemann, Michael Messer, Gaby Schneider, Marietta Kirchner, Jochen Roeper, Julia Schiemann, Ralph Neininger

Publication date: 1 December 2014

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1303.3594

zbMATH Keywords

stochastic processesrenewal processesmultiple time scaleschange point detectionmultiple filtersnonstationary rate

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10)

Related Items (12)

Nonparametric change point detection in multivariate piecewise stationary time series ⋮ The shark fin function: asymptotic behavior of the filtered derivative for point processes in case of change points ⋮ Moving Sum Data Segmentation for Stochastic Processes Based on Invariance ⋮ Multiscale change point detection via gradual bandwidth adjustment in moving sum processes ⋮ Robust multiscale estimation of time-average variance for time series segmentation ⋮ Two-stage data segmentation permitting multiscale change points, heavy tails and dependence ⋮ A multiple filter test for the detection of rate changes in renewal processes with varying variance ⋮ Multi-scale detection of rate changes in spike trains with weak dependencies ⋮ The multiple filter test for change point detection in time series ⋮ Detection and evaluation of bursts in terms of novelty and surprise ⋮ MFT ⋮ A multi-scale approach for testing and detecting peaks in time series

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