Cho, Haeran and Fryzlewicz, Piotr (2012) Multiscale and multilevel technique for consistent segmentation of nonstationary time series. Statistica Sinica, 22 (1). pp. 207-229. ISSN 1017-0405
In this paper, we propose a fast, well-performing, and consistent method for segmenting a piecewise-stationary, linear time series with an unknown number of breakpoints. The time series model we use is the nonparametric Locally Stationary Wavelet model, in which a complete description of the piecewise-stationary second-order structure is provided by wavelet periodograms computed at multiple scales and locations. The initial stage of our method is a new binary segmentation procedure, with a theoretically justified and rapidly computable test criterion that detects breakpoints in wavelet periodograms separately at each scale. This is followed by within-scale and across-scales post-processing steps, leading to consistent estimation of the number and locations of breakpoints in the second-order structure of the original process. An extensive simulation study demonstrates good performance of our method.
|Additional Information:||© 2012 Institute of Statistical Science, Academia Sinica|
|Library of Congress subject classification:||H Social Sciences > HA Statistics|
|Sets:||Departments > Statistics|
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