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Fast Online Changepoint Detection via Functional Pruning CUSUM statistics
Gaetano Romano, Idris Eckley, Paul Fearnhead +1
Many modern applications of online changepoint detection require the ability to process high-frequency observations, sometimes with limited available computational resources. Onlin…
Sparse Temporal Disaggregation
Luke Mosley, Idris Eckley, Alex Gibberd
Temporal disaggregation is a method commonly used in official statistics to enable high-frequency estimates of key economic indicators, such as GDP. Traditionally, such methods hav…
Collective anomaly detection in High-dimensional VAR Models
Hyeyoung Maeng, Idris Eckley, Paul Fearnhead
There is increasing interest in detecting collective anomalies: potentially short periods of time where the features of data change before reverting back to normal behaviour. We pr…