Bivariate change point detection: Joint detection of changes in expectation and variance

DOI10.1111/SJOS.12547zbMath1496.62145arXiv1904.01320OpenAlexW3175364076MaRDI QIDQ5043785

Michael Messer

Publication date: 6 October 2022

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

Full work available at URL: https://arxiv.org/abs/1904.01320

zbMATH Keywords

multiscalebivariatechange point detectionmoving sum

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Related Items (1)

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

Uses Software

• CRAN
• changepoint
• wbs
• FDRSeg
• stepR
• cumSeg
• jcp
• mosum

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