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This article is cited in 1 scientific paper (total in 1 paper)
Multiscale approach for change point detection
A. L. Suvorikovaab, V. G. Spokoinycb a Humboldt University, Berlin
b Institute for Information Transmission Problems of the Russian Academy of Sciences (Kharkevich Institute), Moscow
c Weierstrass Institute for Applied Analysis and Stochastics, Berlin
Abstract:
In this paper we present a multiscale approach for change point detection. The algorithm estimates likelihood-ratio (LR) test in several scrolling windows simultaneously. This makes the method adaptive to structural breaks of different scales. Critical values are calibrated in a data-driven way using multiplier bootstrap, which estimates nonasymptotic distribution of the test statistics.
Keywords:
multiscale change point detection, multiplier bootstrap, scrolling window, likelihood ratio test.
Received: 05.09.2016
Citation:
A. L. Suvorikova, V. G. Spokoiny, “Multiscale approach for change point detection”, Teor. Veroyatnost. i Primenen., 61:4 (2016), 774–804; Theory Probab. Appl., 61:4 (2017), 665–691
Linking options:
https://www.mathnet.ru/eng/tvp5087https://doi.org/10.4213/tvp5087 https://www.mathnet.ru/eng/tvp/v61/i4/p774
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Abstract page: | 543 | Full-text PDF : | 81 | References: | 71 | First page: | 43 |
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