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Activity Number: 495 - Changepoints: Making an Impact
Type: Topic Contributed
Date/Time: Wednesday, July 31, 2019 : 10:30 AM to 12:20 PM
Sponsor: Royal Statistical Society
Abstract #304367 Presentation
Title: Detecting Changes in Mean in the Presence of Autocovariance
Author(s): Euan McGonigle* and Rebecca Killick and Matthew Nunes
Companies: Lancaster University and Lancaster University, UK and University of Bath
Keywords: changepoint detection; changepoints

There has been much attention in recent years to the problem of detecting changes in mean in a piecewise constant time series. Often, methods assume that the noise can be taken to be I.I.D. Gaussian, which in practice may not be a reasonable assumption. There is comparatively little work studying the problem of changepoint detection in time series with non-trivial autocovariance structure. In this talk, we present a wavelet-based method to detect changes in mean in time series that exhibit autocovariance. We demonstrate its effectiveness on a financial time series example.

Authors who are presenting talks have a * after their name.

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