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An Algorithm Based on Singular Spectrum Analysis for Change-Point Detection

Escott-Price, Valentina and Zhigljavsky, Anatoly 2003. An Algorithm Based on Singular Spectrum Analysis for Change-Point Detection. Communications in Statistics - Simulation and Computation 32 (2) , pp. 319-352. 10.1081/SAC-120017494

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Abstract

This paper is devoted to application of the singular-spectrum analysis to sequential detection of changes in time series. An algorithm of change-point detection in time series, based on sequential application of the singular-spectrum analysis is developed and studied. The algorithm is applied to different data sets and extensively studied numerically. For specific models, several numerical approximations to the error probabilities and the power function of the algorithm are obtained. Numerical comparisons with other methods are given.

Item Type: Article
Date Type: Publication
Status: Published
Schools: MRC Centre for Neuropsychiatric Genetics and Genomics (CNGG)
Medicine
Subjects: R Medicine > R Medicine (General)
Publisher: Taylor & Francis
ISSN: 0361-0918
Last Modified: 04 Jun 2017 08:41
URI: http://orca.cf.ac.uk/id/eprint/82902

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Cited 124 times in Scopus. View in Scopus. Powered By Scopus® Data

Cited 48 times in Web of Science. View in Web of Science.

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