3 papers
stat.ME2025
MOPED: A moving sum method for change point detection in pairwise extremal dependence
Euan T. McGonigle, Matthew Pawley, Jordan Richards +1
It is increasingly the case with modern time series that many data sets of practical interest contain abrupt changes in structure. These changes may occur in complex characteristic…
stat.ME2025
Nonparametric data segmentation in multivariate time series via joint characteristic functions
Euan T. McGonigle, Haeran Cho
Modern time series data often exhibit complex dependence and structural changes which are not easily characterised by shifts in the mean or model parameters. We propose a nonparame…
stat.ME2024
TrendLSW: Trend and Spectral Estimation of Nonstationary Time Series in R
Euan T. McGonigle, Rebecca Killick, Matthew A. Nunes
The TrendLSW R package has been developed to provide users with a suite of wavelet-based techniques to analyse the statistical properties of nonstationary time series. The key comp…