2.7k citations · 3.1k across the 14 of their papers we have counts for
5 papers · 1 filter
Detecting changes in covariance via random matrix theory
Sean Ryan, Rebecca Killick
A novel method is proposed for detecting changes in the covariance structure of moderate dimensional time series. This non-linear test statistic has a number of useful properties.…
Modelling Time-Varying First and Second-Order Structure of Time Series via Wavelets and Differencing
Euan T. McGonigle, Rebecca Killick, Matthew A. Nunes
Most time series observed in practice exhibit time-varying trend (first-order) and autocovariance (second-order) behaviour. Differencing is a commonly-used technique to remove the…
Graphical Influence Diagnostics for Changepoint Models
Ines Wilms, Rebecca Killick, David S. Matteson
Changepoint models enjoy a wide appeal in a variety of disciplines to model the heterogeneity of ordered data. Graphical influence diagnostics to characterize the influence of sing…
Changepoint Detection: An Analysis of the Central England Temperature Series
Xueheng Shi, Claudie Beaulieu, Rebecca Killick +1
This paper presents a statistical analysis of structural changes in the Central England temperature series, one of the longest surface temperature records available. A changepoint…
Autocovariance Estimation in the Presence of Changepoints
Colin Gallagher, Rebecca Killick, Robert Lund +1
This article studies estimation of a stationary autocovariance structure in the presence of an unknown number of mean shifts. Here, a Yule-Walker moment estimator for the autoregre…