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Moving sum data segmentation for stochastics processes based on invariance
The segmentation of data into stationary stretches also known as multiple change point problem is important for many applications in time series analysis as well as signal processing.
Time Series Analysis
Methodology
62M99, 62G20, 62H12
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
