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; CRAN; basta; ecp; breakfast; wbsts; Segmentor3IsBack; not; HSMUCE; stepR; InspectChangepoint; factorcpt; cpm; strucchange; changepoint.np; AR1seg; unbalhaar; mosum
Cited in: 97 Publications

Standard Articles

1 Publication describing the Software, including 1 Publication in zbMATH Year
Wild binary segmentation for multiple change-point detection. Zbl 1302.62075
Fryzlewicz, Piotr
all top 5

Cited by 190 Authors

8 Fryzlewicz, Piotr
7 Fearnhead, Paul
5 Eckley, Idris A.
4 Cho, Haeran
4 Rinaldo, Alessandro
4 Wang, Daren
4 Yu, Yi
3 Li, Housen
3 Lund, Robert B.
3 Messer, Michael
3 Munk, Axel
3 Zou, Changliang
2 Bühlmann, Peter
2 Davis, Richard A.
2 Fotopoulos, Stergios B.
2 Haynes, Kaylea
2 Jandhyala, Venkata K.
2 Killick, Rebecca
2 Kirch, Claudia
2 Korkas, Karolos K.
2 Kovács, Solt
2 Maidstone, Robert
2 Rigaill, Guillem
2 Ruggieri, Eric
2 Safikhani, Abolfazl
2 Schneider, Gaby
2 Sofronov, Georgy Yu.
2 Wang, Guanghui
2 Wang, Yunlong
2 Wang, Zhaojun
2 Yau, Chun Yip
2 Yin, Guosheng
1 Ali, Sajid
1 Anastasiou, Andreas
1 Antonellis, Marcus
1 Arlot, Sylvain
1 Bai, Yue
1 Banerjee, Moulinath
1 Baranowski, Rafal
1 Barigozzi, Matteo
1 Behr, Merle
1 Belcaid, Anass
1 Belkbir, H.
1 Biau, Gérard
1 Bleakley, Kevin
1 Bouzebda, Salim
1 Brault, Vincent
1 Bybee, Leland
1 Celisse, Alain
1 Chan, Ngai Hang
1 Chandrasekaran, Venkat
1 Chang, Shao-Tung
1 Chen, Xiaohui
1 Chen, YiNing
1 Chen, Yuting
1 Chen, Zhanshou
1 Chiou, Jeng-Min
1 Costa, Kauê M.
1 Cruz Suárez, Hugo Adán
1 Degras, David A.
1 Descloux, Pascaline
1 Diop, Mamadou Lamine
1 Dong, Daoyi
1 Fang, Xiao
1 Ferfache, Anouar Abdeldjaoued
1 Fisch, Alexander T. M.
1 Fischer, Aurélie
1 Galeano, Pedro
1 Gallagher, Colin M.
1 Garreau, Damien
1 Gibberd, A. J.
1 Grant, Andrew J.
1 Grundy, Thomas
1 G’sell, Max
1 Guo, Qinghai
1 Hahn, Georg
1 Hancock, Stacey A.
1 Herrera Cortés, Silvia
1 Hewaarachchi, Anuradha
1 Hocking, Toby Dylan
1 Holmes, Christopher C.
1 Hsing, Tailen
1 Hu, Junying
1 Hušková, Marie
1 Hyun, Sangwon
1 Jewell, Sean W.
1 Juárez Hernández, Bulmaro
1 Jullien, Alexandra
1 Kang, Sang Gil
1 Kaul, Abhishek
1 Kengne, William Charky
1 Kim, Yongku
1 Kucharczyk, Daniel
1 Lee, Sokbae
1 Lee, Woo Dong
1 Letchford, Adam N.
1 Lévy-Leduc, Céline
1 Li, Huini
1 Li, Jian
1 Li, Qunhua
...and 90 more Authors
all top 5

Cited in 42 Serials

14 Electronic Journal of Statistics
8 The Annals of Statistics
8 Journal of the Korean Statistical Society
7 Journal of Computational and Graphical Statistics
5 Computational Statistics and Data Analysis
5 Statistics and Computing
4 Journal of Statistical Planning and Inference
3 Computational Statistics
3 Statistical Papers
2 Automatica
2 Journal of the American Statistical Association
2 Journal of Econometrics
2 Test
2 Journal of the Royal Statistical Society. Series B. Statistical Methodology
2 The Annals of Applied Statistics
1 Artificial Intelligence
1 Journal of Mathematical Analysis and Applications
1 Metrika
1 Physica A
1 Scandinavian Journal of Statistics
1 Annals of the Institute of Statistical Mathematics
1 Journal of Computational and Applied Mathematics
1 Journal of Multivariate Analysis
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 Applied and Computational Harmonic Analysis
1 Journal of Mathematical Sciences (New York)
1 Statistica Sinica
1 Journal of Computational Neuroscience
1 Bernoulli
1 Journal of Inequalities and Applications
1 Extremes
1 Statistical Inference for Stochastic Processes
1 Journal of Machine Learning Research (JMLR)
1 Advances in Data Analysis and Classification. ADAC
1 Journal of Agricultural, Biological, and Environmental Statistics
1 Journal of Probability and Statistics
1 Random Matrices: Theory and Applications
1 Bayesian Analysis

Citations by Year