A wavelet-based approach for detecting changes in second order structure within nonstationary time series

DOI10.1214/13-EJS799zbMath1337.62269OpenAlexW1977176085MaRDI QIDQ1951153

Rebecca Killick, Philip Jonathan, Idris A. Eckley

Publication date: 29 May 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.ejs/1366722164

zbMATH Keywords

waveletssegmentationlocal stationaritysignificant wave height

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Applications of statistics to environmental and related topics (62P12) Non-Markovian processes: hypothesis testing (62M07)

Related Items (11)

Asymptotics for \(p\)-value based threshold estimation under repeated measurements ⋮ Detecting abrupt changes in a noisy van der Pol type oscillator ⋮ Trend locally stationary wavelet processes ⋮ Functional Estimation and Change Detection for Nonstationary Time Series ⋮ Efficient change point detection and estimation in high-dimensional correlation matrices ⋮ Long memory and changepoint models: a spectral classification procedure ⋮ Multivariate locally stationary 2D wavelet processes with application to colour texture analysis ⋮ A wavelet-based approach for imputation in nonstationary multivariate time series ⋮ Wavelet spectral testing: application to nonstationary circadian rhythms ⋮ Bayesian multiple change-points detection in a normal model with heterogeneous variances ⋮ The locally stationary dual-tree complex wavelet model

Uses Software

• WaveThresh4
• wavethresh
• changepoint
• haarfisz

Cites Work

• Using penalized contrasts for the change-point problem
• Testing for changes in the covariance structure of linear processes
• Change detection in autoregressive time series
• Multiscale and multilevel technique for consistent segmentation of nonstationary time series
• Haar–Fisz Estimation of Evolutionary Wavelet Spectra
• Automatic Statistical Analysis of Bivariate Nonstationary Time Series
• A Revised Modified Cholesky Factorization Algorithm
• A Cluster Analysis Method for Grouping Means in the Analysis of Variance
• Optimal Detection of Changepoints With a Linear Computational Cost
• Multiple Change-Point Estimation With a Total Variation Penalty
• A Note on the Effect of Wavelet Choice on the Estimation of the Evolutionary Wavelet Spectrum
• Structural Break Estimation for Nonstationary Time Series Models
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