Bayesian methods for change‐point detection in long‐range dependent processes
By B. Ray, Ruey S. Tsay. 2002
124 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/ce4cba727e72317a5a9a5a16bb3606aa6cc25e3a
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- R. von Sachs
- Michael A. Osborne
- Stephen J. Roberts
- Steven Reece
- Nikolay Pavlovich Laptev
- Matthew Lang
- P. Bois
- Benjamin Renard
In Finance
- Benjamin Renard
- Matthew Lang
- R. von Sachs
- Michael A. Osborne
- Stephen J. Roberts
- Nikolay Pavlovich Laptev
- Roman Garnett
- P. Bois
Citations in the corpus
- Statistical analysis of extreme events in a non-stationary context via a Bayesian framework: case study with peak-over-threshold data (2006, methodology): “ARMA models are then good candidates to overcome this difficulty [see Ray and Tsay (2002) for instance].”
- Locally stationary long memory estimation (2009, background): “These two approaches have been developed, respectively, in [25,18] (see also [17] where singularities in the spectral density at frequencies different from zero are considered in a piecewise stationary context).”
- Generic and Scalable Framework for Automated Time-series Anomaly Detection (2015, background): “A common strategy for detecting change points in the literature is to move two side-by-side windows on the time-series and compute the difference between the behavior of the time-series in the two windows as a measure of the deviation metric [12, 31, 20, 23].”
- Sequential Bayesian Prediction in the Presence of Changepoints and Faults (2010, background): “Both Bayesian [7] [8] and non-Bayesian [9] [10] solutions do exist, although they focus on retrospective changepoint detection alone; their simple dependent models are not employed for the purposes of prediction .”
- Bayesian Gaussian processes for sequential prediction, optimisation and quadrature (2010, background): “Several authors have found evidence supporting a change in input scale for this data around the year AD 722 [Ray and Tsay, 2002].”
- Gaussian processes for time-series modelling (2013, background): “A changepoint around AD 720–722 is clearly visible and agrees with previous results [21].”