<div class="csl-bib-body">
<div class="csl-entry">Levajković, T., & Messer, M. (2023). Multiscale change point detection via gradual bandwidth adjustment in moving sum processes. <i>Electronic Journal of Statistics</i>, <i>17</i>(1), 70–101. https://doi.org/10.1214/22-EJS2101</div>
</div>
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dc.identifier.issn
1935-7524
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dc.identifier.uri
http://hdl.handle.net/20.500.12708/142096
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dc.description.abstract
A method for the detection of changes in the expectation in univariate sequences is provided. Moving sum processes (MOSUM) are studied. These rely on the selection of a tuning bandwidth. Here, a framework to overcome bandwidth selection is presented – the bandwidth adjusts gradually. For that, MOSUM are made dependent on both time and the bandwidth: the domain becomes a triangle. On the triangle, paths are constructed which systematically lead to change points. An algorithm is provided that estimates change points by subsequent consideration of paths. Strong consistency for the number and location of change points is shown. Simulation studies corroborate estimation precision and reveal competitiveness with state of the art change point detection methods. A companion
R-package mscp is made available on CRAN.
en
dc.language.iso
en
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dc.publisher
INST MATHEMATICAL STATISTICS-IMS
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dc.relation.ispartof
Electronic Journal of Statistics
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dc.subject
Change Point Detection
en
dc.subject
gradual bandwidth
en
dc.subject
MOSUM
en
dc.subject
mscp
en
dc.subject
multiscale
en
dc.title
Multiscale change point detection via gradual bandwidth adjustment in moving sum processes
en
dc.type
Article
en
dc.type
Artikel
de
dc.description.startpage
70
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dc.description.endpage
101
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dc.type.category
Original Research Article
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tuw.container.volume
17
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tuw.container.issue
1
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tuw.journal.peerreviewed
true
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tuw.peerreviewed
true
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tuw.researchTopic.id
C4
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tuw.researchTopic.id
C6
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tuw.researchTopic.id
A3
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tuw.researchTopic.name
Mathematical and Algorithmic Foundations
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tuw.researchTopic.name
Modeling and Simulation
-
tuw.researchTopic.name
Fundamental Mathematics Research
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tuw.researchTopic.value
50
-
tuw.researchTopic.value
35
-
tuw.researchTopic.value
15
-
dcterms.isPartOf.title
Electronic Journal of Statistics
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tuw.publication.orgunit
E105-08 - Forschungsbereich Angewandte Statistik
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tuw.publisher.doi
10.1214/22-EJS2101
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dc.identifier.eissn
1935-7524
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dc.description.numberOfPages
32
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wb.sci
true
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wb.sciencebranch
Mathematik
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wb.sciencebranch.oefos
1010
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wb.sciencebranch.value
100
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Article
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Artikel
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restricted
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Publications
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Publications
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item.languageiso639-1
en
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http://purl.org/coar/resource_type/c_18cf
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http://purl.org/coar/resource_type/c_18cf
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no Fulltext
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crisitem.author.dept
E105-08 - Forschungsbereich Angewandte Statistik
-
crisitem.author.dept
E105-08 - Forschungsbereich Angewandte Statistik
-
crisitem.author.parentorg
E105 - Institut für Stochastik und Wirtschaftsmathematik
-
crisitem.author.parentorg
E105 - Institut für Stochastik und Wirtschaftsmathematik