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A breakpoint detection in the mean model with heterogeneous variance on fixed time-intervals / Olivier Bock in Statistics and Computing, vol 29 n° 1 (February 2020)  

Public [article]  inStatistics and Computing > vol 29 n° 1 (February 2020) . - pp 1 - 13 Titre : A breakpoint detection in the mean model with heterogeneous variance on fixed time-intervals Type de document : Article/Communication Auteurs : Olivier Bock , Auteur ; Xavier Collilieux , Auteur ; François Guillamon, Auteur ; Emilie Lebarbier, Auteur ; Claire Pascal, Auteur Année de publication : 2020 Projets : 1-Pas de projet / Article en page(s) : pp 1 - 13 Note générale : Bibliographie Langues : Anglais (eng) Descripteur : [Vedettes matières IGN] Statistiques [Termes IGN] analyse de variance [Termes IGN] données GNSS [Termes IGN] inférence statistique [Termes IGN] méthode robuste [Termes IGN] points de rupture [Termes IGN] processus gaussien [Termes IGN] segmentation [Termes IGN] série temporelle [Termes IGN] variabilité Résumé : (Auteur) This work is motivated by an application for the homogenization of global navigation satellite system (GNSS)-derived integrated water vapour series. Indeed, these series are affected by abrupt changes due to equipment changes or environmental effects. The detection and correction of the series from these changes are a crucial step before any use for climate studies. In addition to these abrupt changes, it has been observed in the series a non-stationary of the variability. We propose in this paper a new segmentation model that is a breakpoint detection in the mean model of a Gaussian process with heterogeneous variance on known time intervals. In this segmentation case, the dynamic programming algorithm used classically to infer the breakpoints cannot be applied anymore. We propose a procedure in two steps: we first estimate robustly the variances and then apply the classical inference by plugging these estimators. The performance of our proposed procedure is assessed through simulation experiments. An application to real GNSS data is presented. Numéro de notice : A2020-368 Affiliation des auteurs : Géodésie+Ext (mi2018-2019) Thématique : MATHEMATIQUE/POSITIONNEMENT Nature : Article nature-HAL : ArtAvecCL-RevueIntern DOI : 10.1007/s11222-019-09853-5 Date de publication en ligne : 03/05/2019 En ligne : https://doi.org/10.1007/s11222-019-09853-5 Format de la ressource électronique : URL Article Permalink : https://documentation.ensg.eu/index.php?lvl=notice_display&id=92571 [article]