Frequent or Systematic Changes? discussion on "Detecting possibly\n frequent change-points: Wild Binary Segmentation 2 and steepest-drop model\n selection."

2020/08/11 by Myung Hwan Seo, Seo, Myung Hwan
Decision Sciences · Mathematics · #Advanced Statistical Methods and Models #FOS: Computer and information sciences #Forecasting Techniques and Applications #Methodology (stat.ME) #Statistical Methods and Inference

paper · pdf · doi:10.48550/arxiv.2008.04544

openalex publication_date 2020/08/11 · openalex created_date 2022/07/24 · openalex updated_date 2026/07/28

Abstract

We discuss Fryzlewicz's (2020) that proposes WBS2.SDLL approach to detect\npossibly frequent changes in mean of a series. Our focus is on the potential\nissues related to the model misspecification. We present some numerical\nexamples such as the self-exciting threshold autoregression and the unit root\nprocess, that can be confused as a frequent change-points model.\n

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