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Semiparametric detection of changepoints in location, scale, and copula

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Semiparametric detection of changepoints in location, scale, and copula. / Agarwal, Gaurav; Eckley, Idris A.; Fearnhead, Paul.
In: Statistical Analysis and Data Mining: The ASA Data Science Journal, Vol. 16, No. 5, 31.10.2023, p. 456-473.

Research output: Contribution to Journal/MagazineJournal articlepeer-review

Harvard

Agarwal, G, Eckley, IA & Fearnhead, P 2023, 'Semiparametric detection of changepoints in location, scale, and copula', Statistical Analysis and Data Mining: The ASA Data Science Journal, vol. 16, no. 5, pp. 456-473. https://doi.org/10.1002/sam.11622

APA

Vancouver

Agarwal G, Eckley IA, Fearnhead P. Semiparametric detection of changepoints in location, scale, and copula. Statistical Analysis and Data Mining: The ASA Data Science Journal. 2023 Oct 31;16(5):456-473. Epub 2023 Apr 29. doi: 10.1002/sam.11622

Author

Agarwal, Gaurav ; Eckley, Idris A. ; Fearnhead, Paul. / Semiparametric detection of changepoints in location, scale, and copula. In: Statistical Analysis and Data Mining: The ASA Data Science Journal. 2023 ; Vol. 16, No. 5. pp. 456-473.

Bibtex

@article{1a582132c14549d19edd8336bf7ad665,
title = "Semiparametric detection of changepoints in location, scale, and copula",
abstract = "This paper proposes a new method to detect changepoints in the location and scale of univariate data sequences. The proposed method assumes that the data belong to the location‐scale family of distributions and estimate the associated densities nonparametrically. Specifically, the approach does not require knowledge of the functional form of the distribution of the data sequence. As such, the approach can detect changepoints in many distributions. We also propose a new method to detect changes in the location of multivariate sequences, using the marginals and a copula to capture the dependence between variables without the influence of marginal distributions. The performance of the proposed semiparametric approach is contrasted against both other competing nonparametric and Gaussian methods, via simulation studies, as well as applications arising from health and finance.",
keywords = "Copula, Finance, Health, Likelihood ratio, Multivariate changepoints",
author = "Gaurav Agarwal and Eckley, {Idris A.} and Paul Fearnhead",
year = "2023",
month = oct,
day = "31",
doi = "10.1002/sam.11622",
language = "English",
volume = "16",
pages = "456--473",
journal = "Statistical Analysis and Data Mining: The ASA Data Science Journal",
number = "5",

}

RIS

TY - JOUR

T1 - Semiparametric detection of changepoints in location, scale, and copula

AU - Agarwal, Gaurav

AU - Eckley, Idris A.

AU - Fearnhead, Paul

PY - 2023/10/31

Y1 - 2023/10/31

N2 - This paper proposes a new method to detect changepoints in the location and scale of univariate data sequences. The proposed method assumes that the data belong to the location‐scale family of distributions and estimate the associated densities nonparametrically. Specifically, the approach does not require knowledge of the functional form of the distribution of the data sequence. As such, the approach can detect changepoints in many distributions. We also propose a new method to detect changes in the location of multivariate sequences, using the marginals and a copula to capture the dependence between variables without the influence of marginal distributions. The performance of the proposed semiparametric approach is contrasted against both other competing nonparametric and Gaussian methods, via simulation studies, as well as applications arising from health and finance.

AB - This paper proposes a new method to detect changepoints in the location and scale of univariate data sequences. The proposed method assumes that the data belong to the location‐scale family of distributions and estimate the associated densities nonparametrically. Specifically, the approach does not require knowledge of the functional form of the distribution of the data sequence. As such, the approach can detect changepoints in many distributions. We also propose a new method to detect changes in the location of multivariate sequences, using the marginals and a copula to capture the dependence between variables without the influence of marginal distributions. The performance of the proposed semiparametric approach is contrasted against both other competing nonparametric and Gaussian methods, via simulation studies, as well as applications arising from health and finance.

KW - Copula

KW - Finance

KW - Health

KW - Likelihood ratio

KW - Multivariate changepoints

UR - https://doi.org/10.1002/sam.11622

U2 - 10.1002/sam.11622

DO - 10.1002/sam.11622

M3 - Journal article

VL - 16

SP - 456

EP - 473

JO - Statistical Analysis and Data Mining: The ASA Data Science Journal

JF - Statistical Analysis and Data Mining: The ASA Data Science Journal

IS - 5

ER -