A comparison of single and multiple changepoint techniques for time series data
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Publication:2129576
DOI10.1016/j.csda.2022.107433OpenAlexW3120983897MaRDI QIDQ2129576
Xuesheng Shi, Colin M. Gallagher, Robert B. Lund, Rebecca Killick
Publication date: 22 April 2022
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2101.01960
likelihood ratio testBrownian bridgeminimum description lengthARMA modelsbinary segmentationCUSUM testsAMOC techniquesone-step-ahead prediction residualspenalized likelihoodswild binary segmentation
Related Items
Testing for changes in linear models using weighted residuals, Micro–Macro Changepoint Inference for Periodic Data Sequences, A weighted U-statistic based change point test for multivariate time series, Autocovariance estimation in the presence of changepoints
Uses Software
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