Parametric Statistical Change Point Analysis

By Jie Chen, Arjun K. Gupta. 2000

694 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/9c62d39c17322a85d7fb1f2063e3143b8f9f00e1

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In Economics and Econometrics

Citations in the corpus

Sequential Bayesian Prediction in the Presence of Changepoints and Faults (2010, methodology): “A large number of methods have been proposed for this problem; see [1] [2] [3] [4] and the references therein for more information.”
changepoint: An R Package for Changepoint Analysis (2014, methodology): “We refer the interested reader to Guyon and Yao (1999); Chen and Gupta (2000); Lavielle (2005); Birge and Massart (2007) for interesting discussions and suggestions for c .”
Empirical likelihood ratio test for the change-point problem (2007, background): “Among others, the change-point problem in the mean are discussed by Chernoff and Zacks (1964), Sen and Srivastava (1975), Hawkins (1977), Worsley (1986) and Gombay and Horvath (1994), etc.”
Kernel-Based Methods for Hypothesis Testing: A Unified View (2013, background): “The most classical approaches for statistical detection of changes are parametric in nature, meaning that they rely on strong assumptions on the distributional properties of the observed signals [5], [7].”
Quantifying the uncertainty in change points (2012, methodology): “We refer the reader to Chen and Gupta (2000); Eckley et al. (2011) for good overviews of some of these existing methods.”
Detection of multiple change-points in multivariate time series (2006, neutral): “The journal articles by Giraitis and Leipus [16] [15], Hawkins [19] [20], Chen and Gupta [9], Mia and Zhao [32], Sen and Srivastava [35] among others, are also of interest.”
Structured Time Series Analysis for Human Action Segmentation and Recognition (2014, background): “Thus, a human motion sequence is represented as a trajectory, i.e., a structured multivariate time series which implicitly contains the human motion structure.”
Homogeneity and change-point detection tests for multivariate data using rank statistics (2011, methodology): “(2005); Gretton et al. (2006); Harchaoui et al. (2008). In our experience however, these methods that can achieve impressive results for moderately multidimensional data or in specific situations (e.g., if the data lie on a low-dimensional manifold) lack robustness when moving to larger dimensions. ”
Optimal detection of changepoints with a linear computational cost (2011, methodology): “Twice the negative log-likelihood is a commonly used cost function in the changepoint literature (see, e.g., Horvath 1993; Chen and Gupta 2000), although other cost functions such as quadratic loss and cumulative sums are also used (e.g., Inclan and Tiao 1994; Rigaill 2010), or those based on both…”
EXACT ASYMPTOTIC DISTRIBUTION OF CHANGE-POINT MLE FOR CHANGE IN THE MEAN OF GAUSSIAN SEQUENCES (2010, background): “re on the problem covering both detection and estimation aspects. One may consult the monographs of Brodsky and Darkhovsky (1993, 2000), Basseville and Nikiforov (1993), Cso¨rgo˝ and Horva´th (1997), Chen and Gupta (2000) and Wu (2005), as well as a rich collection of references in these monographs ”
Detection of Undocumented Changepoints: A Revision of the Two-Phase Regression Model (2002, background): “The statistical literature is also vast, with Page (1955), Kander and Zacks (1966), Hinkley (1969, 1971), Brown et al. (1975), Hawkins (1977), and Chen and Gupta (2000) composing a prominent historical sample.”