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Changepoints and Time Series

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  1. 2024
  2. Published

    Automatic Change-Point Detection in Time Series via Deep Learning

    Li, J., Fearnhead, P., Fryzlewicz, P. & Wang, T., 12/04/2024, In: Journal of the Royal Statistical Society: Series B (Statistical Methodology). 86, 2, p. 273-285 13 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  3. Published

    Approximating optimal SMC proposal distributions in individual-based epidemic models

    Rimella, L., Jewell, C. & Fearnhead, P., 31/03/2024, In: Statistica Sinica. 34, Online Special Issue 1, 38 p., 6.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  4. Published

    A constant-per-iteration likelihood ratio test for online changepoint detection for exponential family models

    Ward, K., Romano, G., Eckley, I. & Fearnhead, P., 19/03/2024, In: Statistics and Computing. 34, 3, 99.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  5. E-pub ahead of print

    Indirect estimation of the monthly transport turnover indicator in Italy

    Guardabascio, B., Moauro, F. & Mosley, L., 19/03/2024, (E-pub ahead of print) In: Empirical Economics.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  6. Published

    A Log-Linear Non-Parametric Online Changepoint Detection Algorithm based on Functional Pruning

    Romano, G., Eckley, I. & Fearnhead, P., 31/01/2024, In: IEEE Transactions on Signal Processing. 72, p. 594 - 606 13 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  7. Published

    The sparse dynamic factor model: a regularised quasi-maximum likelihood approach

    Mosley, L., Chan, T-S. & Gibberd, A., 22/01/2024, In: Statistics and Computing. 34, 68.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  8. 2023
  9. Forthcoming

    anomaly: Detection of Anomalous Structure in Time Series Data

    Fisch, A., Grose, D., Eckley, I. A., Fearnhead, P. & Bardwell, L., 21/12/2023, (Accepted/In press) In: Journal of Statistical Software.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  10. Published

    Inference on extended-spectrum beta-lactamase Escherichia coli and Klebsiella pneumoniae data through SMC2

    Rimella, L., Alderton, S., Sammarro, M., Rowlingson, B., Cocker, D., Feasey, N., Fearnhead, P. & Jewell, C., 30/11/2023, In: Journal of the Royal Statistical Society: Series C (Applied Statistics). 72, 5, p. 1435–1451

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  11. Published

    Searching for long faint astronomical high energy transients: a data driven approach

    Crupi, R., Dilillo, G., Bissaldi, E., Ward, K., Fiore, F. & Vacchi, A., 22/11/2023, In: Experimental Astronomy. 56, p. 421-476 56 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  12. Forthcoming

    PDMP Monte Carlo methods for piecewise-smooth densities

    Chevallier, A., Power, S., Wang, A. Q. & Fearnhead, P., 9/11/2023, (Accepted/In press) In: Advances in Applied Probability.

    Research output: Contribution to Journal/Magazine › Journal article

  13. Published

    Online Multivariate Changepoint Detection: Leveraging Links With Computational Geometry

    Pishchagina, L., Romano, G., Fearnhead, P., Runge, V. & Rigaill, G., 2/11/2023, Arxiv.

    Research output: Working paper › Preprint

  14. Published

    Semiparametric detection of changepoints in location, scale, and copula

    Agarwal, G., Eckley, I. A. & Fearnhead, P., 31/10/2023, In: Statistical Analysis and Data Mining: The ASA Data Science Journal. 16, 5, p. 456-473 18 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  15. Forthcoming

    cpop: Detecting changes in piecewise-linear signals

    Grose, D. & Fearnhead, P., 6/10/2023, (Accepted/In press) In: Journal of Statistical Software.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  16. Published

    Concave-Convex PDMP-based sampling

    Sutton, M. & Fearnhead, P., 2/10/2023, In: Journal of Computational and Graphical Statistics. 32, 4, 22 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  17. E-pub ahead of print

    Poisson-FOCuS: An Efficient Online Method for Detecting Count Bursts with Application to Gamma Ray Burst Detection

    Ward, K., Dilillo, G., Eckley, I. & Fearnhead, P., 6/09/2023, (E-pub ahead of print) In: Journal of the American Statistical Association. 13 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  18. E-pub ahead of print

    Characterising the ice sheet surface in North East Greenland using Sentinel-1 SAR data

    Shu, Q., Killick, R., Leeson, A., Nemeth, C., Fettweis, X., Hogg, A. & Leslie, D., 31/08/2023, (E-pub ahead of print) In: Journal of Glaciology. 12 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  19. Published

    Reversible Jump PDMP Samplers for Variable Selection

    Chevallier, A., Fearnhead, P. & Sutton, M., 31/07/2023, In: Journal of the American Statistical Association. 118, 544, p. 2915-2927

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  20. Forthcoming

    High-dimensional time series segmentation via factor-adjusted vector autoregressive modelling

    Cho, H., Maeng, H., Eckley, I. A. & Fearnhead, P., 14/07/2023, (Accepted/In press) In: Journal of the American Statistical Association. p. 1-13 13 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  21. Published

    Identifying irregular activity sequences: an application to passive household monitoring

    Gillam, J., Killick, R., Taylor, S., Heal, J. & Norwood, B., 30/06/2023, In: Journal of the Royal Statistical Society: Series C (Applied Statistics). 72, 3, p. 519-543 25 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  22. E-pub ahead of print

    Multi-step Estimators and Shrinkage Effect in Time Series Models

    Svetunkov, I., Kourentzes, N. & Killick, R., 24/06/2023, (E-pub ahead of print) In: Computational Statistics.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  23. Forthcoming

    Stochastic Gradient MCMC for Nonlinear State Space Models

    Aicher, C., Putcha, S., Nemeth, C., Fearnhead, P. & Fox, E. B., 8/06/2023, (Accepted/In press) In: Bayesian Analysis.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  24. Published

    M-Estimation in GARCH Models in the Absence of Higher-Order Moments

    Hallin, M., Liu, H. & Mukherjee, K., 1/06/2023, Research papers in Statistical Inference for Time Series and Related Models: Essays in Honor of Masanobu Taniguchi. 1 ed. Singapore: Springer, p. 195-219 25 p.

    Research output: Contribution in Book/Report/Proceedings - With ISBN/ISSN › Chapter

  25. Published

    Collective Anomaly Detection in High-Dimensional Var Models

    Maeng, H., Eckley, I. & Fearnhead, P., 31/05/2023, In: Statistica Sinica. 33, 1603-1627, p. 1603-1627 25 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  26. Published

    Micro-Macro Changepoint Inference for Periodic Data Sequences

    Ushakova, A., Taylor, S. & Killick, R., 31/05/2023, In: Journal of Computational and Graphical Statistics. 32, 2, p. 684-695 12 p.

    Research output: Contribution to Journal/Magazine › Journal article › peer-review

  27. Published

    Preferential Subsampling for Stochastic Gradient Langevin Dynamics

    Putcha, S., Nemeth, C. & Fearnhead, P., 27/04/2023, In: Proceedings of Machine Learning Research. 206, p. 8837-8856 20 p.

    Research output: Contribution to Journal/Magazine › Conference article › peer-review

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