Related papers: Change point detection in heteroscedastic time ser…

We propose novel methods for change-point testing for nonparametric estimators of expected shortfall and related risk measures in weakly dependent time series. We can detect general multiple structural changes in the tails of marginal…

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…

The problem of detecting change points in the parameters of a linear regression model with errors and covariates exhibiting heteroscedasticity is considered. Asymptotic results for weighted functionals of the cumulative sum (CUSUM)…

We study the detection of change-points in time series. The classical CUSUM statistic for detection of jumps in the mean is known to be sensitive to outliers. We thus propose a robust test based on the Wilcoxon two-sample test statistic.…

Change point detection is a crucial aspect of analyzing time series data, as the presence of a change point indicates an abrupt and significant change in the process generating the data. While many algorithms for the problem of change point…

We present a general and flexible framework for detecting regime changes in complex, non-stationary data across multi-trial experiments. Traditional change point detection methods focus on identifying abrupt changes within a single time…

In this paper we consider a Lagrange Multiplier-type test (LM) to detect change in the mean of time series with heteroskedasticity of unknown form. We derive the limiting distribution under the null, and prove the consistency of the test…

This work delves into presenting a probabilistic method for analyzing linear process data with weakly dependent innovations, focusing on detecting change-points in the mean and estimating its spectral density. We develop a test for…

We propose a bootstrap-based test to detect a mean shift in a sequence of high-dimensional observations with unknown time-varying heteroscedasticity. The proposed test builds on the U-statistic based approach in Wang et al. (2022), targets…

An important assumption in the work on testing for structural breaks in time series consists in the fact that the model is formulated such that the stochastic process under the null hypothesis of "no change-point" is stationary. This…

The aim of this paper is to develop a change-point test for functional time series that uses the full functional information and is less sensitive to outliers compared to the classical CUSUM test. For this aim, the Wilcoxon two-sample test…

Change points in real-world systems mark significant regime shifts in system dynamics, possibly triggered by exogenous or endogenous factors. These points define regimes for the time evolution of the system and are crucial for understanding…

We present a robust test for change-points in time series which is based on the two-sample Hodges-Lehmann estimator. We develop new limit theory for a class of statistics based on the two-sample U-quantile processes, in the case of short…

We consider the problem of sequentially testing for changes in the mean parameter of a time series, compared to a benchmark period. Most tests in the literature focus on the null hypothesis of a constant mean versus the alternative of a…

While many methods are available to detect structural changes in a time series, few procedures are available to quantify the uncertainty of these estimates post-detection. In this work, we fill this gap by proposing a new framework to test…

We develop a testing procedure for distinguishing between a long-range dependent time series and a weakly dependent time series with change-points in the mean. In the simplest case, under the null hypothesis the time series is weakly…

We study multiple change-points detection using multi-samples tests based on U-statistics for absolutely regular observations. Our results extend those of Ngatchou-Wandji et al. (2022) concerned with the study of one single changepoint. The…

In many change point problems it is reasonable to assume that compared to a benchmark at a given time point $t_0$ the properties of the observed stochastic process change gradually over time for $t >t_0$. Often, these gradual changes are…

Bayesian change-point detection, together with latent variable models, allows to perform segmentation over high-dimensional time-series. We assume that change-points lie on a lower-dimensional manifold where we aim to infer subsets of…

Classical moment based change point tests like the cusum test are very powerful in case of Gaussian time series with one change point but behave poorly under heavy tailed distributions and corrupted data. A new class of robust change point…