wbs swMATH ID: 11110 Software Authors: Fryzlewicz, Piotr Description: Wild binary segmentation for multiple change-point detection. We propose a new technique, called wild binary segmentation (WBS), for consistent estimation of the number and locations of multiple change-points in data. We assume that the number of change-points can increase to infinity with the sample size. Due to a certain random localisation mechanism, WBS works even for very short spacings between the change-points and/or very small jump magnitudes, unlike standard binary segmentation. On the other hand, despite its use of localisation, WBS does not require the choice of a window or span parameter, and does not lead to a significant increase in computational complexity. WBS is also easy to code. We propose two stopping criteria for WBS: one based on thresholding and the other based on what we term the ‘strengthened Schwarz information criterion’. We provide default recommended values of the parameters of the procedure and show that it offers very good practical performance in comparison with the state of the art. The WBS methodology is implemented in the R package wbs, available on CRAN. {par} In addition, we provide a new proof of consistency of binary segmentation with improved rates of convergence, as well as a corresponding result for WBS. Homepage: http://cran.r-project.org/web/packages/wbs/index.html Source Code: https://github.com/cran/wbs Dependencies: R Keywords: multiple change-points; change-point detection; binary segmentation; randomised algorithms; thresholding; Bayesian information criterion Related Software: R; FDRSeg; changepoint; breakfast; CRAN; wbsts; ecp; mosum; HSMUCE; not; basta; AR1seg; factorcpt; cpm; anomaly; cpop; Segmentor3IsBack; stepR; nsp; InspectChangepoint Cited in: 148 Documents Standard Articles 1 Publication describing the Software, including 1 Publication in zbMATH Year Wild binary segmentation for multiple change-point detection. Zbl 1302.62075Fryzlewicz, Piotr 2014 all top 5 Cited by 271 Authors 10 Fearnhead, Paul 10 Fryzlewicz, Piotr 7 Eckley, Idris A. 7 Zou, Changliang 6 Cho, Haeran 6 Shao, Xiaofeng 5 Wang, Daren 5 Wang, Zhaojun 5 Yu, Yi 4 Killick, Rebecca 4 Kirch, Claudia 4 Lund, Robert B. 4 Messer, Michael 4 Munk, Axel 4 Rinaldo, Alessandro 4 Wang, Guanghui 3 Jiang, Feiyu 3 Li, Housen 3 Lim, Johan 3 Rigaill, Guillem 3 Son, Won 3 Wang, Runmin 2 Anastasiou, Andreas 2 Behr, Merle 2 Bouzebda, Salim 2 Bühlmann, Peter 2 Chen, Likai 2 Chen, Yuting 2 Chiou, Jeng-Min 2 Davis, Richard A. 2 Ferfache, Anouar Abdeldjaoued 2 Fotopoulos, Stergios B. 2 Gallagher, Colin M. 2 Haynes, Kaylea 2 Jandhyala, Venkata K. 2 Korkas, Karolos K. 2 Kovács, Solt 2 Li, Yuning 2 Liu, Bin 2 Madrid-Padilla, Oscar-Hernan 2 Maidstone, Robert 2 Ruggieri, Eric 2 Safikhani, Abolfazl 2 Schneider, Gaby 2 Shi, Xueheng 2 Sofronov, Georgy Yu. 2 Verzelen, Nicolas 2 Volgushev, Stanislav 2 Wang, Tengyao 2 Wang, Weining 2 Wang, Yunlong 2 Wu, Wei Biao 2 Yang, Qing 2 Yau, Chun Yip 2 Yin, Guosheng 2 Yu, Donghyeon 2 Zhang, Xinsheng 2 Zhao, Zifeng 2 Zhu, Changbo 2 Zi, Xue-Min 1 Adams, Niall M. 1 Ali, Sajid 1 Antonellis, Marcus 1 Arlot, Sylvain 1 Baek, Changryong 1 Bai, Yue 1 Banerjee, Moulinath 1 Baranowski, Rafal 1 Barigozzi, Matteo 1 Baron, Michael I. 1 Belcaid, Anass 1 Belkbir, H. 1 Biau, Gérard 1 Bleakley, Kevin 1 Brault, Vincent 1 Bybee, Leland 1 Cai, Hanqing 1 Cappello, Lorenzo 1 Carpentier, Alexandra 1 Celisse, Alain 1 Chan, Kin Wai 1 Chan, Ngai Hang 1 Chandrasekaran, Venkat 1 Chang, Shao-Tung 1 Chen, Hui 1 Chen, Xiaohui 1 Chen, YiNing 1 Chen, Zehua 1 Chen, Zhanshou 1 Costa, Kauê M. 1 Cribben, Ivor 1 Cruz Suárez, Hugo Adán 1 Cui, Junfeng 1 Degras, David A. 1 Descloux, Pascaline 1 Dette, Holger 1 Diop, Mamadou Lamine 1 Dong, Daoyi 1 Du, Jinchao 1 Du, Lilun ...and 171 more Authors all top 5 Cited in 47 Serials 21 Electronic Journal of Statistics 12 Journal of the Korean Statistical Society 10 The Annals of Statistics 10 Journal of the American Statistical Association 10 Journal of Computational and Graphical Statistics 7 Computational Statistics and Data Analysis 7 Statistical Papers 7 Statistics and Computing 5 Journal of Statistical Planning and Inference 5 Statistica Sinica 3 Annals of the Institute of Statistical Mathematics 3 Journal of Econometrics 3 Computational Statistics 3 Bernoulli 2 Physica A 2 Automatica 2 Journal of Computational and Applied Mathematics 2 Journal of Multivariate Analysis 2 Test 2 Journal of the Royal Statistical Society. Series B. Statistical Methodology 2 Journal of Systems Science and Complexity 2 The Annals of Applied Statistics 1 Journal of Mathematical Analysis and Applications 1 Metrika 1 Scandinavian Journal of Statistics 1 Statistics & Probability Letters 1 Journal of Time Series Analysis 1 Multidimensional Systems and Signal Processing 1 Economics Letters 1 Applied Mathematical Modelling 1 Communications in Statistics. Theory and Methods 1 Journal of Statistical Computation and Simulation 1 Applied and Computational Harmonic Analysis 1 Journal of Mathematical Sciences (New York) 1 Journal of Computational Neuroscience 1 Journal of Inequalities and Applications 1 Journal of Applied Statistics 1 Extremes 1 Statistical Inference for Stochastic Processes 1 Brazilian Journal of Probability and Statistics 1 Journal of Machine Learning Research (JMLR) 1 Advances in Data Analysis and Classification. ADAC 1 Journal of Business and Economic Statistics 1 Journal of Agricultural, Biological, and Environmental Statistics 1 Journal of Probability and Statistics 1 Random Matrices: Theory and Applications 1 Bayesian Analysis all top 5 Cited in 13 Fields 143 Statistics (62-XX) 15 Probability theory and stochastic processes (60-XX) 7 Operations research, mathematical programming (90-XX) 4 Game theory, economics, finance, and other social and behavioral sciences (91-XX) 4 Information and communication theory, circuits (94-XX) 3 Numerical analysis (65-XX) 3 Biology and other natural sciences (92-XX) 2 Computer science (68-XX) 1 Combinatorics (05-XX) 1 Linear and multilinear algebra; matrix theory (15-XX) 1 Dynamical systems and ergodic theory (37-XX) 1 Geophysics (86-XX) 1 Systems theory; control (93-XX) Citations by Year