Multiscale spectral analysis for detecting short and long range change points in time series
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References listed on IDEAS
- Jushan Bai, 1997. "Estimation Of A Change Point In Multiple Regression Models," The Review of Economics and Statistics, MIT Press, vol. 79(4), pages 551-563, November.
- 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.
- Hernando Ombao & Jonathan Raz & Rainer von Sachs & Wensheng Guo, 2002. "The SLEX Model of a Non-Stationary Random Process," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 54(1), pages 171-200, March.
- Andrews, Donald W K, 1993.
"Tests for Parameter Instability and Structural Change with Unknown Change Point,"
Econometric Society, vol. 61(4), pages 821-856, July.
- Donald W.K. Andrews, 1990. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Cowles Foundation Discussion Papers 943, Cowles Foundation for Research in Economics, Yale University.
- Balke, Nathan S, 1993. "Detecting Level Shifts in Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 81-92, January.
- Ombao H. C & Raz J. A & von Sachs R. & Malow B. A, 2001. "Automatic Statistical Analysis of Bivariate Nonstationary Time Series," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 543-560, June.
- Cheolwoo Park & J. S. Marron & Vitaliana Rondonotti, 2004. "Dependent SiZer: Goodness-of-Fit Tests for Time Series Models," Journal of Applied Statistics, Taylor & Francis Journals, vol. 31(8), pages 999-1017.
- Hsiao-Yun Huang & Hernando Ombao & David S. Stoffer, 2004. "Discrimination and Classification of Nonstationary Time Series Using the SLEX Model," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 763-774, January.
- Park, Cheolwoo & Godtliebsen, Fred & Taqqu, Murad & Stoev, Stilian & Marron, J.S., 2007. "Visualization and inference based on wavelet coefficients, SiZer and SiNos," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 5994-6012, August.
- Polansky, Alan M., 2007. "Detecting change-points in Markov chains," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 6013-6026, August.
- Sato, Joao R. & Morettin, Pedro A. & Arantes, Paula R. & Amaro Jr., Edson, 2007. "Wavelet based time-varying vector autoregressive modelling," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 5847-5866, August.
- Ligges, Uwe & Weihs, Claus & Hasse-Becker, Petra, 2002. "Detection of locally stationary segments in time series: Algorithms and applications," Technical Reports 2002,11, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
- Oigard, Tor Arne & Rue, Havard & Godtliebsen, Fred, 2006. "Bayesian multiscale analysis for time series data," Computational Statistics & Data Analysis, Elsevier, vol. 51(3), pages 1719-1730, December.
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- repec:bla:istatr:v:85:y:2017:i:1:p:1-30 is not listed on IDEAS
- Huh, Jib & Park, Cheolwoo, 2015. "Theoretical investigation of an exploratory approach for log-density in scale-space," Statistics & Probability Letters, Elsevier, vol. 107(C), pages 272-279.
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