Frequent or Systematic Changes? discussion on "Detecting possibly frequent change-points: Wild Binary Segmentation 2 and steepest-drop model selection."

Myung Hwan Seo

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arXiv · 2008.04544

Frequent or Systematic Changes? discussion on "Detecting possibly frequent change-points: Wild Binary Segmentation 2 and steepest-drop model selection."

Myung Hwan Seo

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Abstract

We discuss Fryzlewicz's (2020) that proposes WBS2.SDLL approach to detect possibly frequent changes in mean of a series. Our focus is on the potential issues related to the model misspecification. We present some numerical examples such as the self-exciting threshold autoregression and the unit root process, that can be confused as a frequent change-points model.

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Myung Hwan Seo. 2020-08-11. Frequent or Systematic Changes? discussion on "Detecting possibly frequent change-points: Wild Binary Segmentation 2 and steepest-drop model selection.". https://arxiv.org/abs/2008.04544

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