Data segmentation algorithms: Univariate mean change and beyond

Haeran Cho and Claudia Kirch

Econometrics and Statistics, 2024, vol. 30, issue C, 76-95

Abstract: Data segmentation a.k.a. multiple change point analysis has received considerable attention due to its importance in time series analysis and signal processing, with applications in a variety of fields including natural and social sciences, medicine, engineering and finance. The first part reviews the existing literature on the canonical data segmentation problem which aims at detecting and localising multiple change points in the mean of univariate time series. An overview of popular methodologies is provided on their computational complexity and theoretical properties. In particular, the theoretical discussion focuses on the separation rate relating to which change points are detectable by a given procedure, and the localisation rate quantifying the precision of corresponding change point estimators, and a distinction is made whether a homogeneous or multiscale viewpoint has been adopted in their derivation. It is further highlighted that the latter viewpoint provides the most general setting for investigating the optimality of data segmentation algorithms.

Keywords: Data segmentation; Change point analysis; Time series analysis; High-dimensional statistics (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecosta:v:30:y:2024:i:c:p:76-95

DOI: 10.1016/j.ecosta.2021.10.008

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