wbsts swMATH ID: 19367 Software Authors: Korkas, Karolos K.; Fryzlewicz, Piotr Description: Multiple change-point detection for non-stationary time series using wild binary segmentation. We propose a new technique for consistent estimation of the number and locations of the change-points in the second-order structure of a time series. The core of the segmentation procedure is the wild binary segmentation method (WBS), a technique which involves a certain randomised mechanism. The advantage of WBS over the standard binary segmentation lies in its localisation feature, thanks to which it works in cases where the spacings between change-points are short. In addition, we do not restrict the total number of change-points a time series can have. We also ameliorate the performance of our method by combining the CUSUM statistics obtained at different scales of the wavelet periodogram, our main change-point detection statistic, which allows a rigorous estimation of the local autocovariance of a piecewise-stationary process. We provide a simulation study to examine the performance of our method for different types of scenarios. A proof of consistency is also provided. Our methodology is implemented in the { t R} package { t wbsts}, available from CRAN. Homepage: https://cran.r-project.org/web/packages/wbsts/index.html Source Code: https://github.com/cran/wbsts Dependencies: R Keywords: binary segmentation; change-points; locally stationary wavelet processes; non-stationarity Related Software: wbs; basta; breakfast; FDRSeg; changepoint; R; CRAN; fpop; mosum; Segmentor3IsBack; jointseg; IDetect; capushe; cumSeg; ecp; stepR; not; cpm; CAPUSHE; strucchange Cited in: 7 Publications all top 5 Cited by 14 Authors 2 Fryzlewicz, Piotr 2 Korkas, Karolos K. 1 Bouzebda, Salim 1 Ferfache, Anouar Abdeldjaoued 1 Grant, Andrew J. 1 Hu, Junying 1 Liu, Ling 1 Liu, Xinsheng 1 Ma, Lijing 1 Sofronov, Georgy Yu. 1 Tan, Changchun 1 Wu, Yuehua 1 Yu, Yuncai 1 Zhao, Piao Cited in 5 Serials 3 Journal of the Korean Statistical Society 1 Journal of Mathematical Analysis and Applications 1 Statistical Papers 1 Statistica Sinica 1 Journal of Inequalities and Applications Cited in 3 Fields 7 Statistics (62-XX) 2 Probability theory and stochastic processes (60-XX) 1 Numerical analysis (65-XX) Citations by Year