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Found 3 papers, 1 papers with code
Data segmentation algorithms: Univariate mean change and beyond
In the second part of this survey, we motivate the importance of attaining an in-depth understanding of strengths and weaknesses of methodologies for the change point problem in a simpler, univariate setting, as a stepping stone for the development of methodologies for more complex problems.
Time Series Analysis
Methodology
Multiple change point detection under serial dependence: Wild contrast maximisation and gappy Schwarz algorithm
We propose a methodology for detecting multiple change points in the mean of an otherwise stationary, autocorrelated, linear time series.
Change Point Detection
Model Selection
+1
Methodology
High-dimensional GARCH process segmentation with an application to Value-at-Risk
Models for financial risk often assume that underlying asset returns are stationary.
Time Series Analysis
Methodology
