Advanced search
Publication Cover
Journal of Statistical Computation and Simulation Volume 68, 2000 - Issue 1
Submit an article Journal homepage
106
Views
39
CrossRef citations to date
0
Altmetric
Original Articles

Multiscale detection and location of multiple variance changes in the presence of long memory

Brandon Whitcher EURANDOM, Correspondence[email protected]
,
Peter Guttorp University of Washington,
&
Donald B. Percival University of Washington,
Pages 65-87 | Received 16 Sep 1999, Published online: 20 Mar 2007

Citations (39)

Keep up to date with the latest research on this topic with citation updates for this article.

Subscribe to citation updates

Read on this site (4)

Christopher F. H. Nam, John A. D. Aston, Idris A. Eckley & Rebecca Killick. (2015) The Uncertainty of Storm Season Changes: Quantifying the Uncertainty of Autocovariance Changepoints. Technometrics 57:2, pages 194-206.
Read now
Gabriela Ciuperca. (2012) The S-estimator in the change-point random model with long memory. Statistics 46:6, pages 697-718.
Read now
Hyunyoung Choi, Hernando Ombao & Bonnie Ray. (2008) Sequential Change-Point Detection Methods for Nonstationary Time Series. Technometrics 50:1, pages 40-52.
Read now
Francesco Gabbanini, Marina Vannucci, Gianni Bartoli & Antonio Moro. (2004) Wavelet Packet Methods for the Analysis of Variance of Time Series With Application to Crack Widths on the Brunelleschi Dome. Journal of Computational and Graphical Statistics 13:3, pages 639-658.
Read now

Articles from other publishers (35)

Abu Hanifa Md Noman, Muhammad Mahmudul Karim, Mohammad Kabir Hassan, Muhammad Asif Khan & Sajeda Pervin. (2023) COVID-19 pandemic and the dynamics of major investable assets: What gives shelter to investors?. International Review of Economics & Finance 86, pages 14-30.
Crossref
Michael Messer. (2021) Bivariate change point detection: Joint detection of changes in expectation and variance. Scandinavian Journal of Statistics 49:2, pages 886-916.
Crossref
Jack L. Follis & Dejian Lai. (2020) Variability analysis of epileptic EEG using the maximal overlap discrete wavelet transform. Health Information Science and Systems 8:1.
Crossref
Gowtham Atluri, Anuj Karpatne & Vipin Kumar. (2018) Spatio-Temporal Data Mining. ACM Computing Surveys 51:4, pages 1-41.
Crossref
Daniel Kucharczyk, Agnieszka Wyłomańska & Grzegorz Sikora. (2018) Variance change point detection for fractional Brownian motion based on the likelihood ratio test. Physica A: Statistical Mechanics and its Applications 490, pages 439-450.
Crossref
A. Jackson & B. Turnbull. (2017) Identification of particle-laden flow features from wavelet decomposition. Physica D: Nonlinear Phenomena 361, pages 12-27.
Crossref
Stefan Albert, Michael Messer, Julia Schiemann, Jochen Roeper & Gaby Schneider. (2017) Multi-Scale Detection of Variance Changes in Renewal Processes in the Presence of Rate Change Points. Journal of Time Series Analysis 38:6, pages 1028-1052.
Crossref
Hervé Piégay & Lise Vaudor. 2016. Tools in Fluvial Geomorphology. Tools in Fluvial Geomorphology 476 506 .
R.M. Lark. (2016) Changes in the variance of a soil property along a transect, a comparison of a non-stationary linear mixed model and a wavelet transform. Geoderma 266, pages 84-97.
Crossref
W. Rust, R. Corstanje, I.P. Holman & A.E. Milne. (2014) Detecting land use and land management influences on catchment hydrology by modelling and wavelets. Journal of Hydrology 517, pages 378-389.
Crossref
Zhong Hai Zhou, Jian Yuan & Jun Xiao Li. (2013) Interference Image Edge Detection Based on Wavelet Packet for Laser Interferometer Hydrophone. Applied Mechanics and Materials 441, pages 670-673.
Crossref
Jan Beran, Yuanhua Feng, Sucharita Ghosh & Rafal KulikJan Beran, Yuanhua Feng, Sucharita Ghosh & Rafal Kulik. 2013. Long-Memory Processes. Long-Memory Processes 555 732 .
P. Bernaola-Galván, J. L. Oliver, M. Hackenberg, A. V. Coronado, P. Ch. Ivanov & P. Carpena. (2012) Segmentation of time series with long-range fractal correlations. The European Physical Journal B 85:6.
Crossref
A. E. Milne, J. Lehmann, D. Solomon & R. M. Lark. (2011) Wavelet analysis of soil variation at nanometre- to micrometre-scales: an example of organic carbon content in a micro-aggregate. European Journal of Soil Science 62:4, pages 617-628.
Crossref
A. E. Milne, K. A. Haskard, C. P. Webster, I. A. Truan, K. W. T. Goulding & R.M. Lark. (2011) Wavelet analysis of the correlations between soil properties and potential nitrous oxide emission at farm and landscape scales. European Journal of Soil Science 62:3, pages 467-478.
Crossref
. 2011. Statistical Methods for Trend Detection and Analysis in the Environmental Sciences. Statistical Methods for Trend Detection and Analysis in the Environmental Sciences 127 170 .
A. E. Milne, M. T. Castellanos, M. C. Cartagena, A. M. Tarquis & R. M. Lark. (2010) Investigating the effect of previous treatments on wheat biomass over multiple spatial frequencies. Biogeosciences 7:9, pages 2739-2747.
Crossref
A. E. Milne, M. T. Castellanos, M. C. Cartagena, A. M. Tarquis & R. M. Lark. (2010) Investigating the effect of historical treatments on wheat yield over multiple spatial frequencies. Biogeosciences Discussions 7:2, pages 2143-2167.
Crossref
A. E. Milne, R. Webster & R. M. Lark. (2010) Spectral and wavelet analysis of gilgai patterns from air photography. Soil Research 48:4, pages 309.
Crossref
A.E. Milne, C.J.A. Macleod, P.M. Haygarth, J.M.B. Hawkins & R.M. Lark. (2009) The wavelet packet transform: A technique for investigating temporal variation of river water solutes. Journal of Hydrology 379:1-2, pages 1-19.
Crossref
Mohamed Hamdi, Amel Meddeb-Makhlouf & Noureddine Boudriga. (2009) Multilayer Statistical Intrusion Detection in Wireless Networks. EURASIP Journal on Advances in Signal Processing 2009, pages 1-14.
Crossref
Deukwoo Kwon, Marina Vannucci, Joon Jin Song, Jaesik Jeong & Ruth M. Pfeiffer. (2008) A novel wavelet‐based thresholding method for the pre‐processing of mass spectrometry data that accounts for heterogeneous noise. PROTEOMICS 8:15, pages 3019-3029.
Crossref
A. J. DeLonay, D. M. Papoulias, M. L. Wildhaber, M. L. Annis, J. L. Bryan, S. A. Griffith, S. H. Holan & D. E. Tillitt. (2007) Use of behavioral and physiological indicators to evaluate Scaphirhynchus sturgeon spawning success. Journal of Applied Ichthyology 23:4, pages 428-435.
Crossref
Patrick M. Crowley. (2007) A GUIDE TO WAVELETS FOR ECONOMISTS. Journal of Economic Surveys 21:2, pages 207-267.
Crossref
Robert J Barnes, Samantha Jayne Baxter & R.M. Lark. (2007) Spatial covariation of Azotobacter abundance and soil properties: A case study using the wavelet transform. Soil Biology and Biochemistry 39:1, pages 295-310.
Crossref
D. W. Kwon, K. Ko, M. Vannucci, A. L. N. Reddy & S. Kim. (2006) Wavelet Methods for the Detection of Anomalies and their Application to Network Traffic Analysis. Quality and Reliability Engineering International 22:8, pages 953-969.
Crossref
Angelo Maria Sabatini. (2006) A wavelet-based bootstrap method applied to inertial sensor stochastic error modelling using the Allan variance. Measurement Science and Technology 17:11, pages 2980-2988.
Crossref
A. Popoola & K. Ahmad. (2006) Testing the Suitability of Wavelet Preprocessing for TSK Fuzzy Models. Testing the Suitability of Wavelet Preprocessing for TSK Fuzzy Models.
I.W.C. Lee & A.O. Fapojuwo. (2006) Statistical methods for computer network traffic analysis. IEE Proceedings - Communications 153:6, pages 939.
Crossref
Ying Li, Murray Lark & Dominic Reeve. (2005) Multi-scale variability of beach profiles at Duck: A wavelet analysis. Coastal Engineering 52:12, pages 1133-1153.
Crossref
Saif Ahmad, Tugba Taskaya-Temizel & Khurshid Ahmad. 2004. Intelligent Data Engineering and Automated Learning – IDEAL 2004. Intelligent Data Engineering and Automated Learning – IDEAL 2004 523 532 .
B. Whitcher, S. D. Byers, P. Guttorp & D. B. Percival. (2002) Testing for homogeneity of variance in time series: Long memory, wavelets, and the Nile River. Water Resources Research 38:5, pages 12-1-12-16.
Crossref
Ivo Grosse, Pedro Bernaola-Galv?n, Pedro Carpena, Ram?n Rom?n-Rold?n, Jose Oliver & H. Eugene Stanley. (2002) Analysis of symbolic sequences using the Jensen-Shannon divergence. Physical Review E 65:4.
Crossref
. 2002. An Introduction to Wavelets and Other Filtering Methods in Finance and Economics. An Introduction to Wavelets and Other Filtering Methods in Finance and Economics 323 348 .
Patrick M. M. Crowley. (2005) An Intuitive Guide to Wavelets for Economists. SSRN Electronic Journal.
Crossref

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Order Reprints Request Corporate Permissions

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

Request Academic Permissions

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.

Related research

People also read lists articles that other readers of this article have read.

Recommended articles lists articles that we recommend and is powered by our AI driven recommendation engine.

Cited by lists all citing articles based on Crossref citations.
Articles with the Crossref icon will open in a new tab.