Related papers: Change-Point Detection under Dependence Based on T…
We investigate the power of some common change-point tests as a function of the location of the change-point. The test statistics are maxima of weighted U-statistics, with the CUSUM test and the Wilcoxon change-point test as special…
High-dimensional changepoint inference, adaptable to diverse alternative scenarios, has attracted significant attention in recent years. In this paper, we propose an adaptive and robust approach to changepoint testing. Specifically, by…
We propose a general framework of sequential testing procedures based on $U$-statistics which contains as an example a sequential CUSUM test based on differences in mean but also includes a robust sequential Wilcoxon change point procedure.…
We consider an estimator for the location of a shift in the mean of long-range dependent sequences. The estimation is based on the two-sample Wilcoxon statistic. Consistency and the rate of convergence for the estimated change point are…
A method for change point detection is proposed. We consider a univariate sequence of independent random variables with piecewise constant expectation and variance, apart from which the distribution may vary periodically. We aim to detect…
In this paper, we consider the problem of (multiple) change-point detection in panel data. We propose the double CUSUM statistic which utilises the cross-sectional change-point structure by examining the cumulative sums of ordered CUSUMs at…
High-dimensional time series are characterized by a large number of measurements and complex dependence, and often involve abrupt change points. We propose a new procedure to detect change points in the mean of high-dimensional time series…
We investigate the online detection of changepoints in the distribution of a sequence of observations using degenerate U-statistic-type processes. We study weighted versions of: an ordinary, CUSUM-type scheme, a Page-CUSUM-type scheme, and…
In this paper, change-point problems for long memory stochastic volatility models are considered. A general testing problem which includes various alternative hypotheses is discussed. Under the hypothesis of stationarity the limiting…
We introduce a robust estimator of the location parameter for the change-point in the mean based on the Wilcoxon statistic and establish its consistency for $L_1$ near epoch dependent processes. It is shown that the consistency rate depends…
In this paper, we consider a change-point problem for a centered, stationary and $m$-dependent multivariate random field. Under the distribution free assumption, a change-point test using CUSUM statistic is proposed to detect anomalies…
Most of the literature on change-point analysis by means of hypothesis testing considers hypotheses of the form H0 : \theta_1 = \theta_2 vs. H1 : \theta_1 != \theta_2, where \theta_1 and \theta_2 denote parameters of the process before and…
Change-point detection methods are proposed for the case of temporary failures, or transient changes, when an unexpected disorder is ultimately followed by a readjustment and return to the initial state. A base distribution of the…
The analysis of record-breaking events is of interest in fields such as climatology, hydrology or anthropology. In connection with the record occurrence, we propose three distribution-free statistics for the changepoint detection problem.…
We consider change-point tests based on rank statistics to test for structural changes in long-range dependent observations. Under the hypothesis of stationary time series and under the assumption of a change with decreasing change-point…
We investigate the significance of change-points within fully nonparametric regression contexts, with a particular focus on panel data where data generation processes vary across units, and error terms may display complex dependency…
We consider the problem of detecting distributional changes in a sequence of high dimensional data. Our approach combines two separate statistics stemming from $L_p$ norms whose behavior is similar under $H_0$ but potentially different…
This paper addresses the issue of detecting change-points in multivariate time series. The proposed approach differs from existing counterparts by making only weak assumptions on both the change-points structure across series, and the…
The q-weighted CUSUM and their corresponding estimator are well known statistics for change-point detection and estimation. They have the difficulty that the performance is highly dependent on the location of the change. An adaptive…
Change point detection is a typical task that aim to find changes in time series and can be tackled with two-sample test. Copula Entropy is a mathematical concept for measuring statistical independence and a two-sample test based on it was…