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Fitting multiple change-point models to data

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  • Hawkins, Douglas M.

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  • Hawkins, Douglas M., 2001. "Fitting multiple change-point models to data," Computational Statistics & Data Analysis, Elsevier, vol. 37(3), pages 323-341, September.
  • Handle: RePEc:eee:csdana:v:37:y:2001:i:3:p:323-341
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    References listed on IDEAS

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    1. Venter, J. H. & Steel, S. J., 1996. "Finding multiple abrupt change points," Computational Statistics & Data Analysis, Elsevier, vol. 22(5), pages 481-504, September.
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    Cited by:

    1. Bill Russell & Dooruj Rambaccussing, 2016. "Breaks and the Statistical Process of Inflation: The Case of the ‘Modern’ Phillips Curve," Dundee Discussion Papers in Economics 294, Economic Studies, University of Dundee.
    2. repec:spr:compst:v:33:y:2018:i:2:d:10.1007_s00180-017-0740-4 is not listed on IDEAS
    3. Aki-Hiro Sato & Hideki Takayasu, 2013. "Segmentation procedure based on Fisher's exact test and its application to foreign exchange rates," Papers 1309.0602, arXiv.org.
    4. Loschi, R.H. & Iglesias, P.L. & Arellano-Valle, R.B. & Cruz, F.R.B., 2007. "Full predictivistic modeling of stock market data: Application to change point problems," European Journal of Operational Research, Elsevier, vol. 180(1), pages 282-291, July.
    5. Yann Guédon, 2013. "Exploring the latent segmentation space for the assessment of multiple change-point models," Computational Statistics, Springer, vol. 28(6), pages 2641-2678, December.
    6. Venkata Jandhyala & Stergios Fotopoulos & Ian MacNeill & Pengyu Liu, 2013. "Inference for single and multiple change-points in time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(4), pages 423-446, July.
    7. repec:spr:testjl:v:26:y:2017:i:2:d:10.1007_s11749-016-0513-3 is not listed on IDEAS
    8. Batsidis, A. & Horváth, L. & Martín, N. & Pardo, L. & Zografos, K., 2013. "Change-point detection in multinomial data using phi-divergence test statistics," Journal of Multivariate Analysis, Elsevier, vol. 118(C), pages 53-66.
    9. Davis, Richard A. & Hancock, Stacey A. & Yao, Yi-Ching, 2016. "On consistency of minimum description length model selection for piecewise autoregressions," Journal of Econometrics, Elsevier, vol. 194(2), pages 360-368.
    10. Jaromír Antoch & Daniela Jarušková, 2013. "Testing for multiple change points," Computational Statistics, Springer, vol. 28(5), pages 2161-2183, October.
    11. Zeileis, Achim & Shah, Ajay & Patnaik, Ila, 2010. "Testing, monitoring, and dating structural changes in exchange rate regimes," Computational Statistics & Data Analysis, Elsevier, vol. 54(6), pages 1696-1706, June.
    12. Zeileis, Achim & Kleiber, Christian & Kramer, Walter & Hornik, Kurt, 2003. "Testing and dating of structural changes in practice," Computational Statistics & Data Analysis, Elsevier, vol. 44(1-2), pages 109-123, October.
    13. Galeano, Pedro, 2007. "The use of cumulative sums for detection of changepoints in the rate parameter of a Poisson Process," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 6151-6165, August.
    14. Loschi, R.H. & Cruz, F.R.B., 2005. "Extension to the product partition model: computing the probability of a change," Computational Statistics & Data Analysis, Elsevier, vol. 48(2), pages 255-268, February.

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