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Relating and Comparing Methods for Detecting Changes in Mean

Research output: Contribution to Journal/MagazineJournal articlepeer-review

Published
Article numbere291
<mark>Journal publication date</mark>1/12/2020
<mark>Journal</mark>Stat
Issue number1
Volume9
Number of pages11
Publication StatusPublished
Early online date20/04/20
<mark>Original language</mark>English

Abstract

In recent years there have been a large number of proposed approaches to detecting changes in mean. A natural question for an analyst is which method is most appropriate for their application. Answering this question is difficult because current empirical studies often give conflicting conclusions. This paper aims to show the similarities and differences between different changepoint methods. We highlight that there are two aspects to estimating changepoints: estimating the number of changes and estimating their location, and that comparisons should separately evaluate these two aspects. We perform an extensive comparison of different methods across a range of simulation scenarios, and provide code and full results for an interested practitioner to extend this comparison to more methods or different scenarios.