Relevant change points in high dimensional time series
نویسندگان
چکیده
منابع مشابه
Testing for Change Points in Time Series
This article considers the CUSUM-based (cumulative sum) test for a change point in a time series. In the case of testing for a mean shift, the traditional Kolmogorov–Smirnov test statistic involves a consistent long-run variance estimator, which is needed to make the limiting null distribution free of nuisance parameters. The commonly used lag-window type long-run variance estimator requires to...
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متن کاملTesting for change points in time series 1
June 4, 2010 Xiaofeng Shao and Xianyang Zhang University of Illinois at Urbana-Champaign Abstract: This article considers the CUSUM-based (cumulative sum) test for a change point in a time series. In the case of testing for a mean shift, the traditional KolmogorovSmirnov test statistic involves a consistent long run variance estimator, which is needed to make the limiting null distribution free...
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Change points detection in time series is an important area of research in statistics, has a long history and has many applications. However, very often change point analysis is only focused on the changes in the mean value of some quantity in a process. In this work we consider time series with discrete point changes which may contain a finite number of changes of probability density functions...
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ژورنال
عنوان ژورنال: Electronic Journal of Statistics
سال: 2018
ISSN: 1935-7524
DOI: 10.1214/18-ejs1464