Selective review of offline change point detection methods
This article presents a selective survey of algorithms for the offline detection of multiple
change points in multivariate time series. A general yet structuring methodological strategy …
change points in multivariate time series. A general yet structuring methodological strategy …
Unit roots, structural breaks and trends
JH Stock - Handbook of econometrics, 1994 - Elsevier
This chapter reviews inference about large autoregressive or moving average roots in
univariate time series, and structural change in multivariate time series regression. The …
univariate time series, and structural change in multivariate time series regression. The …
Techniques for testing the constancy of regression relationships over time
RL Brown, J Durbin, JM Evans - Journal of the Royal Statistical …, 1975 - academic.oup.com
Methods for studying the stability over time of regression relationships are considered.
Recursive residuals, defined to be uncorrelated with zero means and constant variance, are …
Recursive residuals, defined to be uncorrelated with zero means and constant variance, are …
Optimal tests when a nuisance parameter is present only under the alternative
DWK Andrews, W Ploberger - Econometrica: Journal of the Econometric …, 1994 - JSTOR
This paper derives asymptotically optimal tests for testing problems in which a nuisance
parameter exists under the alternative hypothesis but not under the null. For example, the …
parameter exists under the alternative hypothesis but not under the null. For example, the …
Some methods for testing the homogeneity of rainfall records
TA Buishand - Journal of hydrology, 1982 - Elsevier
Cumulative deviations from the mean are often used in the analysis of homogeneity.
Features of five tests on the cumulative deviations are discussed. Some of these tests have …
Features of five tests on the cumulative deviations are discussed. Some of these tests have …
[图书][B] Optimal statistical decisions
MH DeGroot - 2005 - books.google.com
The Wiley Classics Library consists of selected books that have become recognized classics
in their respective fields. With these new unabridged and inexpensive editions, Wiley hopes …
in their respective fields. With these new unabridged and inexpensive editions, Wiley hopes …
Procedures for reacting to a change in distribution
G Lorden - The annals of mathematical statistics, 1971 - JSTOR
Procedures for Reacting to a Change in Distribution Page 1 The Annals of Mathematical
Statistics 1971, Vol. 42, No. 6, 1897-1908 PROCEDURES FOR REACTING TO A CHANGE IN …
Statistics 1971, Vol. 42, No. 6, 1897-1908 PROCEDURES FOR REACTING TO A CHANGE IN …
Multiscale change point inference
K Frick, A Munk, H Sieling - … the Royal Statistical Society Series B …, 2014 - academic.oup.com
We introduce a new estimator, the simultaneous multiscale change point estimator SMUCE,
for the change point problem in exponential family regression. An unknown step function is …
for the change point problem in exponential family regression. An unknown step function is …
[图书][B] Parametric statistical change point analysis
J Chen, AK Gupta, AK Gupta - 2000 - Springer
Recently there has been a keen interest in the statistical analysis of change point detec tion
and estimation. Mainly, it is because change point problems can be encountered in many …
and estimation. Mainly, it is because change point problems can be encountered in many …
A Bayesian analysis for change point problems
D Barry, JA Hartigan - Journal of the American Statistical …, 1993 - Taylor & Francis
A sequence of observations undergoes sudden changes at unknown times. We model the
process by supposing that there is an underlying sequence of parameters partitioned into …
process by supposing that there is an underlying sequence of parameters partitioned into …