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Inference for multiple change points in time series via likelihood ratio scan statistics

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  • Chun Yip Yau
  • Zifeng Zhao

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  • Chun Yip Yau & Zifeng Zhao, 2016. "Inference for multiple change points in time series via likelihood ratio scan statistics," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(4), pages 895-916, September.
    • Handle: RePEc:bla:jorssb:v:78:y:2016:i:4:p:895-916
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    References listed on IDEAS

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    1. Klaus Frick & Axel Munk & Hannes Sieling, 2014. "Multiscale change point inference," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 76(3), pages 495-580, June.
    2. Alexander Aue & Lajos Horváth, 2013. "Structural breaks in time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(1), pages 1-16, January.
    3. Bai, Jushan, 1997. "Estimating Multiple Breaks One at a Time," Econometric Theory, Cambridge University Press, vol. 13(3), pages 315-352, June.
    4. Davis, Richard A. & Lee, Thomas C.M. & Rodriguez-Yam, Gabriel A., 2006. "Structural Break Estimation for Nonstationary Time Series Models," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 223-239, March.
    5. Mas, André & Menneteau, Ludovic, 2003. "Large and moderate deviations for infinite-dimensional autoregressive processes," Journal of Multivariate Analysis, Elsevier, vol. 87(2), pages 241-260, November.
    6. Richard A. Davis & Thomas C. M. Lee & Gabriel A. Rodriguez‐Yam, 2008. "Break Detection for a Class of Nonlinear Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(5), pages 834-867, September.
    7. Ombao, Hernando & von Sachs, Rainer & Guo, Wensheng, 2005. "SLEX Analysis of Multivariate Nonstationary Time Series," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 519-531, June.
    8. Fryzlewicz, Piotr, 2014. "Wild binary segmentation for multiple change-point detection," LSE Research Online Documents on Economics 57146, London School of Economics and Political Science, LSE Library.
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    Cited by:

    1. Cho, Haeran & Kirch, Claudia, 2024. "Data segmentation algorithms: Univariate mean change and beyond," Econometrics and Statistics, Elsevier, vol. 30(C), pages 76-95.
    2. Haeran Cho & Claudia Kirch, 2022. "Two-stage data segmentation permitting multiscale change points, heavy tails and dependence," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 74(4), pages 653-684, August.
    3. Feiyu Jiang & Zifeng Zhao & Xiaofeng Shao, 2022. "Modelling the COVID‐19 infection trajectory: A piecewise linear quantile trend model," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(5), pages 1589-1607, November.
    4. Youssef Salman & Joseph Ngatchou-Wandji & Zaher Khraibani, 2024. "Testing a Class of Piece-Wise CHARN Models with Application to Change-Point Study," Mathematics, MDPI, vol. 12(13), pages 1-40, July.
    5. Dufays, Arnaud & Rombouts, Jeroen V.K., 2020. "Relevant parameter changes in structural break models," Journal of Econometrics, Elsevier, vol. 217(1), pages 46-78.
    6. Cho, Haeran & Fryzlewicz, Piotr, 2023. "Multiple change point detection under serial dependence: wild contrast maximisation and gappy Schwarz algorithm," LSE Research Online Documents on Economics 120085, London School of Economics and Political Science, LSE Library.
    7. Lajos Horvath & Lorenzo Trapani, 2021. "Changepoint detection in random coefficient autoregressive models," Papers 2104.13440, arXiv.org.
    8. Cho, Haeran & Kirch, Claudia, 2022. "Bootstrap confidence intervals for multiple change points based on moving sum procedures," Computational Statistics & Data Analysis, Elsevier, vol. 175(C).
    9. Lijing Ma & Andrew J. Grant & Georgy Sofronov, 2020. "Multiple change point detection and validation in autoregressive time series data," Statistical Papers, Springer, vol. 61(4), pages 1507-1528, August.
    10. Zifeng Zhao & Feiyu Jiang & Xiaofeng Shao, 2022. "Segmenting time series via self‐normalisation," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 84(5), pages 1699-1725, November.
    11. David Ardia & Arnaud Dufays & Carlos Ordás Criado, 2024. "Linking Frequentist and Bayesian Change-Point Methods," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 42(4), pages 1155-1168, October.
    12. Chen, Zhanshou & Xu, Qiongyao & Li, Huini, 2019. "Inference for multiple change points in heavy-tailed time series via rank likelihood ratio scan statistics," Economics Letters, Elsevier, vol. 179(C), pages 53-56.
    13. Ji-Eun Choi & Dong Wan Shin, 2021. "A self-normalization break test for correlation matrix," Statistical Papers, Springer, vol. 62(5), pages 2333-2353, October.
    14. Yunwei Cui & Rongning Wu & Qi Zheng, 2021. "Estimation of change‐point for a class of count time series models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(4), pages 1277-1313, December.
    15. Holger Dette & Theresa Eckle & Mathias Vetter, 2020. "Multiscale change point detection for dependent data," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 47(4), pages 1243-1274, December.

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