Off-Line Detection of Multiple Change Points by the Filtered Derivative withp-Value Method
نویسندگان
چکیده
منابع مشابه
Filtered derivative with p-value method for multiple change-points detection
In different applications (health, finance,...), abrupt changes on the spectral density of long memory processes provide relevant information. In this work, we concern ourself with off-line detection. However, our method is close to the sliding window which is typically a sequential analysis method. We model data by Gaussian processes with locally stationary and long memory increments. By using...
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ژورنال
عنوان ژورنال: Sequential Analysis
سال: 2011
ISSN: 0747-4946,1532-4176
DOI: 10.1080/07474946.2011.563710