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arXiv · 2004.08159

Detection and Estimation of Local Signals

Xiao Fang·David Siegmund
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Abstract

We study the maximum score statistic to detect and estimate local signals in the form of change-points in the level, slope, or other property of a sequence of observations, and to segment the sequence when there appear to be multiple changes. We find that when observations are serially dependent, the change-points can lead to upwardly biased estimates of autocorrelations, resulting in a sometimes serious loss of power. Examples involving temperature variations, the level of atmospheric greenhouse gases, suicide rates, incidence of COVID-19, and excess deaths during the pandemic illustrate the general theory.

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Xiao Fang, David Siegmund. 2020-04-17. Detection and Estimation of Local Signals. https://arxiv.org/abs/2004.08159

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