Abstract:
In this paper we present a multiscale approach for change point detection. The algorithm estimates likelihood-ratio (LR) test in several scrolling windows simultaneously. This makes the method adaptive to structural breaks of different scales. Critical values are calibrated in a data-driven way using multiplier bootstrap, which estimates nonasymptotic distribution of the test statistics.
Keywords:multiscale change point detection, multiplier bootstrap, scrolling window, likelihood ratio test.