Bayesian Model for Multiple Change-Points Detection in Multivariate Time Series

DOI10.1109/TSP.2016.2566609zbMath1414.94794arXiv1407.3206OpenAlexW2962917376MaRDI QIDQ4620885

Flore Harlé, Florent Chatelain, Cédric Gouy-Pailler, Sophie Achard

Publication date: 8 February 2019

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1407.3206

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Detection theory in information and communication theory (94A13)

Related Items (3)

Inference of Breakpoints in High-dimensional Time Series ⋮ A Bayesian approach for the segmentation of series with a functional effect ⋮ Bayesian loss-based approach to change point analysis

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