Centre de documentation
scientifique

A factor model approach for the joint segmentation with between‐series correlation / Xavier Collilieux in Scandinavian Journal of Statistics, vol 46 n° 3 (September 2019)  

Public [article]  inScandinavian Journal of Statistics > vol 46 n° 3 (September 2019) . - pp 686 - 705 Titre : A factor model approach for the joint segmentation with between‐series correlation Type de document : Article/Communication Auteurs : Xavier Collilieux , Auteur ; Emilie Lebarbier, Auteur ; Stéphane Robin, Auteur Année de publication : 2019 Projets : 1-Pas de projet / Article en page(s) : pp 686 - 705 Note générale : bibliographie Langues : Anglais (eng) Descripteur : [Vedettes matières IGN] Statistiques [Termes IGN] algorithme espérance-maximisation [Termes IGN] corrélation [Termes IGN] détection de changement [Termes IGN] programmation dynamique [Termes IGN] R (langage) [Termes IGN] segmentation [Termes IGN] série temporelle Résumé : (auteur) We consider the detection of changes in the mean of a set of time series. The breakpoints are allowed to be series specific, and the series are assumed to be correlated. The correlation between the series is supposed to be constant along time but is allowed to take an arbitrary form. We show that such a dependence structure can be encoded in a factor model. Thanks to this representation, the inference of the breakpoints can be achieved via dynamic programming, which remains one the most efficient algorithms. We propose a model selection procedure to determine both the number of breakpoints and the number of factors. This proposed method is implemented in the FASeg R package, which is available on the CRAN. We demonstrate the performances of our procedure through simulation experiments and present an application to geodesic data. Numéro de notice : A2019-275 Affiliation des auteurs : ENSG+Ext (2012-2019) Autre URL associée : vers ArXiv Thématique : POSITIONNEMENT Nature : Article nature-HAL : ArtAvecCL-RevueIntern DOI : 10.1111/sjos.12368 Date de publication en ligne : 19/12/2018 En ligne : https://doi.org/10.1111/sjos.12368 Format de la ressource électronique : URL article Permalink : https://documentation.ensg.eu/index.php?lvl=notice_display&id=95379 [article]