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Teoriya Veroyatnostei i ee Primeneniya, 2016, Volume 61, Issue 4, Pages 774–804
DOI: https://doi.org/10.4213/tvp5087 (Mi tvp5087) 		 
This article is cited in 2 scientific papers (total in 2 papers)

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
Full-text PDF (432 kB) Citations (2)
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DOI: https://doi.org/10.4213/tvp5087
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.
Funding agency Grant number
Russian Science Foundation 14-50-00150
Received: 05.09.2016
English version:
Theory of Probability and its Applications, 2017, Volume 61, Issue 4, Pages 665–691
DOI: https://doi.org/10.1137/S0040585X97T988411
Bibliographic databases:
Document Type: Article
Language: Russian
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
Citation in format AMSBIB
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  • https://doi.org/10.4213/tvp5087
  • https://www.mathnet.ru/eng/tvp/v61/i4/p774
    • This publication is cited in the following 2 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    		Теория вероятностей и ее применения Theory of Probability and its Applications
     
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