Multiscale change point detection via gradual bandwidth adjustment in moving sum processes

DOI10.1214/22-EJS2101OpenAlexW3134986835MaRDI QIDQ2683184

Tijana Levajković, Michael Messer

Publication date: 3 February 2023

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

Full work available at URL: https://arxiv.org/abs/2103.01060

zbMATH Keywords

mscpmultiscalechange point detectionMOSUMgradual bandwidth

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Inference from stochastic processes (62M99)

Related Items (1)

mscp

Uses Software

• CRAN
• changepoint
• wbs
• not
• FDRSeg
• stepR
• breakfast
• cumSeg
• HSMUCE
• mosum

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A MOSUM procedure for the estimation of multiple random change points
• 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
• Wild binary segmentation for multiple change-point detection
• Testing for changes using permutations of U-statistics
• Multiple change-point estimation with U-statistics
• Multiscale local change point detection with applications to value-at-risk
• An application of the maximum likelihood test to the change-point problem
• Rates of convergence for U-statistic processes and their bootstrapped versions
• On extreme value asymptotics for increments of renewal processes
• Evaluating stationarity via change-point alternatives with applications to fMRI data
• Nonparametric tests for change-point detection à la Gombay and Horváth
• Tail-greedy bottom-up data decompositions and fast multiple change-point detection
• Segmentation and estimation of change-point models: false positive control and confidence regions
• Power of change-point tests for long-range dependent data
• Limit theorems for permutations of empirical processes with applications to change point analysis
• On discriminating between long-range dependence and changes in mean
• Least‐squares Estimation of an Unknown Number of Shifts in a Time Series
• Change-Point Analysis in Nonstationary Stochastic Models
• Structural breaks in time series
• MOSUM tests for parameter constancy
• A Nonparametric Approach for Multiple Change Point Analysis of Multivariate Data
• Multiscale change point detection for dependent data
• Bivariate change point detection: Joint detection of changes in expectation and variance
• Narrowest-Over-Threshold Detection of Multiple Change Points and Change-Point-Like Features
• Multiple Change-Point Estimation With a Total Variation Penalty
• Heterogeneous Change Point Inference
• Inference about the change-point from cumulative sum tests
• CONTINUOUS INSPECTION SCHEMES

This page was built for publication: Multiscale change point detection via gradual bandwidth adjustment in moving sum processes