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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.
    2. Aaron L. Halpern, 2000. "Multiple-Changepoint Testing for an Alternating Segments Model of a Binary Sequence," Biometrics, The International Biometric Society, vol. 56(3), pages 903-908, September.
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    Citations

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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. Kang-Ping Lu & Shao-Tung Chang, 2023. "An Advanced Segmentation Approach to Piecewise Regression Models," Mathematics, MDPI, vol. 11(24), pages 1-23, December.
    3. Salvatore Fasola & Vito M. R. Muggeo & Helmut Küchenhoff, 2018. "A heuristic, iterative algorithm for change-point detection in abrupt change models," Computational Statistics, Springer, vol. 33(2), pages 997-1015, June.
    4. 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.
    5. 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.
    6. Ouédraogo, Rasmané & Sawadogo, Relwendé & Sawadogo, Hamidou, 2020. "Private and public investment in sub-Saharan Africa: The role of instability risks," Economic Systems, Elsevier, vol. 44(2).
    7. Kang-Ping Lu & Shao-Tung Chang, 2022. "Robust Switching Regressions Using the Laplace Distribution," Mathematics, MDPI, vol. 10(24), pages 1-24, December.
    8. 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.
    9. Siu-Tong Au & Rong Duan & Siamak Hesar & Wei Jiang, 2010. "A framework of irregularity enlightenment for data pre-processing in data mining," Annals of Operations Research, Springer, vol. 174(1), pages 47-66, February.
    10. Kang-Ping Lu & Shao-Tung Chang, 2021. "Robust Algorithms for Change-Point Regressions Using the t -Distribution," Mathematics, MDPI, vol. 9(19), pages 1-28, September.
    11. 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.
    12. 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.
    13. Gianluca Mastrantonio & Giovanna Jona Lasinio & Alessio Pollice & Lorenzo Teodonio & Giulia Capotorti, 2022. "A Dirichlet process model for change‐point detection with multivariate bioclimatic data," Environmetrics, John Wiley & Sons, Ltd., vol. 33(1), February.
    14. Ross, Gordon J., 2015. "Parametric and Nonparametric Sequential Change Detection in R: The cpm Package," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 66(i03).
    15. 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.
    16. 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.
    17. Jaromír Antoch & Daniela Jarušková, 2013. "Testing for multiple change points," Computational Statistics, Springer, vol. 28(5), pages 2161-2183, October.
    18. 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.
    19. Aurelio Fernández Bariviera & M. Belén Guercio & Lisana B. Martinez, 2014. "Informational Efficiency in Distressed Markets: The Case of European Corporate Bonds," The Economic and Social Review, Economic and Social Studies, vol. 45(3), pages 349-369.
    20. Paul Fogel & Yann Gaston-Mathé & Douglas Hawkins & Fajwel Fogel & George Luta & S. Stanley Young, 2016. "Applications of a Novel Clustering Approach Using Non-Negative Matrix Factorization to Environmental Research in Public Health," IJERPH, MDPI, vol. 13(5), pages 1-14, May.
    21. 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.
    22. Bill Russell & Dooruj Rambaccussing, 2019. "Breaks and the statistical process of inflation: the case of estimating the ‘modern’ long-run Phillips curve," Empirical Economics, Springer, vol. 56(5), pages 1455-1475, May.
    23. 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.
    24. Michele Rienzner & Francesca Ieva, 2017. "Critical values improvement for the standard normal homogeneity test by combining Monte Carlo and regression approaches," Journal of Applied Statistics, Taylor & Francis Journals, vol. 44(4), pages 602-619, March.
    25. Pedro Galeano & Dominik Wied, 2017. "Dating multiple change points in the correlation matrix," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 26(2), pages 331-352, June.

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    1. Aaron L. Halpern, 2000. "Multiple-Changepoint Testing for an Alternating Segments Model of a Binary Sequence," Biometrics, The International Biometric Society, vol. 56(3), pages 903-908, September.
    2. Kang-Ping Lu & Shao-Tung Chang, 2023. "An Advanced Segmentation Approach to Piecewise Regression Models," Mathematics, MDPI, vol. 11(24), pages 1-23, December.
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