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Inference for single and multiple change-points in time series

Citations

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Cited by:

  1. Skrobotov, Anton, 2020. "Survey on structural breaks and unit root tests," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 58, pages 96-141.
  2. Michael Messer & Stefan Albert & Gaby Schneider, 2018. "The multiple filter test for change point detection in time series," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 81(6), pages 589-607, August.
  3. Castrillón-Candás, Julio E. & Kon, Mark, 2022. "Anomaly detection: A functional analysis perspective," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
  4. Camillo Cammarota, 2017. "Estimating the turning point location in shifted exponential model of time series," Journal of Applied Statistics, Taylor & Francis Journals, vol. 44(7), pages 1269-1281, May.
  5. Hajra Siddiqa & Sajid Ali & Ismail Shah, 2021. "Most recent changepoint detection in censored panel data," Computational Statistics, Springer, vol. 36(1), pages 515-540, March.
  6. 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.
  7. Inder Tecuapetla-Gómez & Axel Munk, 2017. "Autocovariance Estimation in Regression with a Discontinuous Signal and m-Dependent Errors: A Difference-Based Approach," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 44(2), pages 346-368, June.
  8. Daniela Jarušková, 2015. "Detecting non-simultaneous changes in means of vectors," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 24(4), pages 681-700, December.
  9. Ponciano, José M. & Taper, Mark L. & Dennis, Brian, 2018. "Ecological change points: The strength of density dependence and the loss of history," Theoretical Population Biology, Elsevier, vol. 121(C), pages 45-59.
  10. Shi, Xuesheng & Gallagher, Colin & Lund, Robert & Killick, Rebecca, 2022. "A comparison of single and multiple changepoint techniques for time series data," Computational Statistics & Data Analysis, Elsevier, vol. 170(C).
  11. Rafael Azevedo & Ramon Cruz & Marcos Silva-Cavalcante & Renata Silva & Carlos Correia-Oliveira & Patrícia Couto & Adriano Lima-Silva & Romulo Bertuzzi, 2017. "Methodological approaches to determine the “U”-pacing strategy in cycling time trial," International Journal of Performance Analysis in Sport, Taylor & Francis Journals, vol. 17(5), pages 752-762, September.
  12. 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.
  13. Shu, Lei & Chen, Yu & Zhang, Weiping & Wang, Xueqin, 2022. "Spatial rank-based high-dimensional change point detection via random integration," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
  14. Chih‐Hao Chang & Kam‐Fai Wong & Wei‐Yee Lim, 2023. "Threshold estimation for continuous three‐phase polynomial regression models with constant mean in the middle regime," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 77(1), pages 4-47, February.
  15. Hoffmann, Michael & Vetter, Mathias & Dette, Holger, 2018. "Nonparametric inference of gradual changes in the jump behaviour of time-continuous processes," Stochastic Processes and their Applications, Elsevier, vol. 128(11), pages 3679-3723.
  16. Bouzebda, Salim & Ferfache, Anouar Abdeldjaoued, 2023. "Asymptotic properties of semiparametric M-estimators with multiple change points," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 609(C).
  17. Michael Messer, 2022. "Bivariate change point detection: Joint detection of changes in expectation and variance," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(2), pages 886-916, June.
  18. Roberto Baragona & Francesco Battaglia & Domenico Cucina, 2016. "Empirical Likelihood for Outlier Detection and Estimation in Autoregressive Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(3), pages 315-336, May.
  19. 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.
  20. Woody, Jonathan & Lund, Robert, 2014. "A linear regression model with persistent level shifts: An alternative to infill asymptotics," Statistics & Probability Letters, Elsevier, vol. 95(C), pages 118-124.
  21. Sangwon Hyun & Kevin Z. Lin & Max G'Sell & Ryan J. Tibshirani, 2021. "Post‐selection inference for changepoint detection algorithms with application to copy number variation data," Biometrics, The International Biometric Society, vol. 77(3), pages 1037-1049, September.
  22. Woody, Jonathan, 2015. "Time series regression with persistent level shifts," Statistics & Probability Letters, Elsevier, vol. 102(C), pages 22-29.
  23. Holger Dette & Dominik Wied, 2016. "Detecting relevant changes in time series models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(2), pages 371-394, March.
  24. Aeneas Rooch & Ieva Zelo & Roland Fried, 2019. "Estimation methods for the LRD parameter under a change in the mean," Statistical Papers, Springer, vol. 60(1), pages 313-347, February.
  25. Lee, Taewook & Baek, Changryong, 2020. "Block wild bootstrap-based CUSUM tests robust to high persistence and misspecification," Computational Statistics & Data Analysis, Elsevier, vol. 150(C).
  26. Chigozie E. Utazi, 2017. "Bayesian Single Changepoint Estimation in a Parameter-driven Model," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 44(3), pages 765-779, September.
  27. Stergios B. Fotopoulos & Alex Paparas & Venkata K. Jandhyala, 2022. "Change point detection and estimation methods under gamma series of observations," Statistical Papers, Springer, vol. 63(3), pages 723-754, June.
  28. 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.
  29. Daniela Jarušková, 2018. "Estimating non-simultaneous changes in the mean of vectors," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 81(6), pages 721-743, August.
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