most citedDetecting Changes in Time Series Data using Volatility Filters

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eess.SY2017★ 1 cited

Detecting Changes in Time Series Data using Volatility Filters

Alireza Ahrabian, Nazli Farajidavar, Clive Cheong-Took +1

This work develops techniques for the sequential detection and location estimation of transient changes in the volatility (standard deviation) of time series data. In particular, w…