The multiple filter test for change point detection in time series

A framework for the detection of change points in the expectation in sequences of random variables is presented. Specifically, we investigate time series with general distributional assumptions that may show an unknown number of change points in the expectation occurring on multiple time scales and...

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Veröffentlicht in:	Metrika 2018-08, Vol.81 (6), p.589-607
Hauptverfasser:	Messer, Michael, Albert, Stefan, Schneider, Gaby
Format:	Artikel
Sprache:	eng
Schlagworte:	Brownian motion Change detection Computer simulation Economic Theory/Quantitative Economics/Mathematical Methods Mathematics and Statistics Null hypothesis Probability Theory and Stochastic Processes Random variables Rejection Sequences Statistical analysis Statistical tests Statistics Time series
Online-Zugang:	Volltext
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