A Bayesian wavelet approach to estimation of a change-point in a nonlinear multivariate time series

DOI10.1080/00949655.2015.1116535OpenAlexW2306975141MaRDI QIDQ5222505

Robert M. Steward, Steven E. Rigdon

Publication date: 1 April 2020

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2015.1116535

zbMATH Keywords

discrete wavelet transformHaar waveletsemiparametricscaling coefficientdetail coefficient

Mathematics Subject Classification ID

Statistics (62-XX)

Uses Software

• WaveThresh4

Cites Work

• Reversible jump Markov chain Monte Carlo computation and Bayesian model determination
• A Non-Parametric Approach to the Change-Point Problem
• Estimating nonlinear regression with and without change-points by the LAD method
• Change-points in nonparametric regression analysis
• Testing for changes in multivariate dependent observations with an application to temperature changes
• Estimation and comparison of multiple change-point models
• Retrospective multivariate Bayesian change-point analysis: A simultaneous single change in the mean of several hydrological sequences
• Multi-regime models for nonlinear nonstationary time series
• Multivariate Statistical Process Control with Industrial Applications
• A theory for multiresolution signal decomposition: the wavelet representation
• Ten Lectures on Wavelets
• A Bayesian approach to inference about a change-point in a sequence of random variables
• Ideal spatial adaptation by wavelet shrinkage
• Testing and Locating Variance Changepoints with Application to Stock Prices
• A Bayesian Analysis for Change Point Problems
• Jump and sharp cusp detection by wavelets
• Hierarchical Bayesian Analysis of Changepoint Problems
• A Nonparametric Approach for Multiple Change Point Analysis of Multivariate Data
• Bayesian single change point detection in a sequence of multivariate normal observations
• On the Likelihood Ratio Test for a Shift in Location of Normal Populations
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