Two-stage data segmentation permitting multiscale change points, heavy tails and dependence
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Publication:92617
DOI10.1007/s10463-021-00811-5zbMath1497.62230arXiv1910.12486OpenAlexW3203268470MaRDI QIDQ92617
Haeran Cho, Claudia Kirch, Haeran Cho, Claudia Kirch
Publication date: 25 September 2021
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1910.12486
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32)
Related Items (6)
Optimal multiple change-point detection for high-dimensional data ⋮ Moving Sum Data Segmentation for Stochastic Processes Based on Invariance ⋮ Data-driven selection of the number of change-points via error rate control ⋮ Multiscale change point detection via gradual bandwidth adjustment in moving sum processes ⋮ Robust multiscale estimation of time-average variance for time series segmentation ⋮ mosum
Uses Software
Cites Work
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