> Detailanzeige

Yau, Chun Yip; Zhao, Zifeng

Inference for Multiple Change Points in Time Series via Likelihood Ratio Scan Statistics

Literatur-
verwaltung

Zur
Merkliste

Lösche von
Merkliste

Per Whatsapp teilen

Schließen

Merkliste



Sie können Bookmarks mittels Listen verwalten, loggen Sie sich dafür bitte in Ihr SLUB Benutzerkonto ein.
  • Medientyp: E-Artikel
  • Titel: Inference for Multiple Change Points in Time Series via Likelihood Ratio Scan Statistics
  • Beteiligte: Yau, Chun Yip; Zhao, Zifeng
  • Erschienen: Oxford University Press (OUP), 2016
  • Erschienen in: Journal of the Royal Statistical Society Series B: Statistical Methodology, 78 (2016) 4, Seite 895-916
  • Sprache: Englisch
  • DOI: 10.1111/rssb.12139
  • ISSN: 1369-7412; 1467-9868
  • Entstehung:
  • Anmerkungen:
  • Beschreibung: <jats:title>Summary</jats:title> <jats:p>We propose a likelihood ratio scan method for estimating multiple change points in piecewise stationary processes. Using scan statistics reduces the computationally infeasible global multiple-change-point estimation problem to a number of single-change-point detection problems in various local windows. The computation can be efficiently performed with order O{npt log (n)}. Consistency for the estimated numbers and locations of the change points are established. Moreover, a procedure is developed for constructing confidence intervals for each of the change points. Simulation experiments and real data analysis are conducted to illustrate the efficiency of the likelihood ratio scan method.</jats:p>