Concepedia

Dynamic Detection of Change Points in Long Time Series

Annals of the Institute of Statistical Mathematics · 2006 · 72 citations · 34 references

Concepts

ComputingMathematicsDynamical SystemsForecastingTime Series AnalysisChange DetectionChange-point DetectionTemporal Change DetectionTime Series AnalyticsTime Series ForecastingTrend AnalysisAbrupt Change DetectionGradual Change DetectionMultivariate Change-point DetectionOnline Change-point DetectionTime Series Change AnalysisTime-series Change DetectionTrend Change Point Detection

References

34

Novel approach to nonlinear/non-Gaussian Bayesian state estimation

Neil Gordon, David Salmond, A. F. M. Smith · IEE Proceedings F Radar and Signal Processing · 1993 · 7.6K citations

Computing, Computer Science, Bayesian Data Analysis +16

New Results in Linear Filtering and Prediction Theory

R. E. Kalman, R. S. Bucy · Journal of Basic Engineering · 1961 · 6.3K citations

Natural Sciences, Mathematics, Dynamical Systems +16

Reversible jump Markov chain Monte Carlo computation and Bayesian model determination

Peter J. Green · Biometrika · 1995 · 5.9K citations

Computing, Biostatistics, Computer Science +17

Monte Carlo Statistical Methods

Hoon Kim, Christian P. Robert, George Casella · Technometrics · 2000 · 5.6K citations

Natural Sciences, Biostatistics, Mathematics +13

On sequential Monte Carlo sampling methods for Bayesian filtering

Arnaud Doucet, Simon Godsill, Christophe Andrieu · Statistics and Computing · 2000 · 4.4K citations

Natural Sciences, Computer Science, Mathematics +10