An Introduction to Changepoints

Changepoint analysis for time series is an increasingly important aspect of statistics.  Simply put, a changepoint is an instance in time where the statistical properties before and after this time point differ.  With potential changes naturally occurring in data and many statistical methods assuming a "no change" setup, changepoint analysis is important in both applied and theoretical statistics.  

The first published article concerning changepoints was in 1954 by E.S. Page. This considered testing for a potential single changepoint for data from a common parametric distribution and was motivated by a quality control setting in manufacturing. Over the decades, changepoint analysis has developed rapidly with multiple changepoints, different types of data and other assumptions being considered.

Changepoints also appear under a variety of synonyms across a variety of scientific fields. This includes segmentation, structural breaks, break points, regime switching and detecting disorder.

With the changepoint community thriving, changepoint.info has been established to provide researchers with up-to-date information regarding changepoint analysis from a single, convenient source.
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For good introductions and reviews to changepoint analysis we refer the reader to the following recent publications:

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    AuthorTitleYearJournal/ProceedingsReftypeDOI/URL
    Amiri, A. & Allahyari, S.Change Point Estimation Methods for Control Chart Postsignal Diagnostics: A Literature Review

    [BibTeX]

    		2011Quality and Reliability Engineering International
    Vol. 0, pp. n/a-n/a     		articleDOI URL 
    BibTeX:
    @article{QRE:QRE1266, 
author = "Amiri, Amirhossein and Allahyari, Saeed", 
title = "Change Point Estimation Methods for Control Chart Postsignal Diagnostics: A Literature Review", 
journal = "Quality and Reliability Engineering International", 
publisher = "John Wiley & Sons, Ltd", 
year = "2011", 
volume = "0", 
pages = "n/a--n/a", 
url = "http://dx.doi.org/10.1002/qre.1266", 
doi = "http://dx.doi.org/10.1002/qre.1266"
}
    Bai, J.Estimation of a Change Point in Multiple Regression Models

    [BibTeX]

    		1997Review of Economics and Statistics
    Vol. 79(4), pp. 551 - 563     		articleURL 
    BibTeX:
    @article{Bai1997, 
author = "Bai, J.", 
title = "Estimation of a Change Point in Multiple Regression Models", 
journal = "Review of Economics and Statistics", 
year = "1997", 
volume = "79", 
number = "4", 
pages = "551 - 563", 
url = "http://www.mitpressjournals.org/doi/abs/10.1162/003465397557132"
}
    Chen, J. & Gupta, A.K.Parametric statistical change point analysis

    [BibTeX]

    		2000 bookURL 
    BibTeX:
    @book{ChenGupta2000, 
author = "Chen, J. and Gupta, A. K.", 
title = "Parametric statistical change point analysis", 
publisher = "Birkhauser", 
year = "2000", 
url = "http://www.springer.com/birkhauser/applied+probability+and+statistics/book/978-0-8176-4800-8"
}
    Eckley, I.A., Fearnhead, P. & Killick, R.Analysis of Changepoint Models

    [BibTeX]

    		2011Bayesian Time Series Models incollectionURL 
    BibTeX:
    @incollection{EckleyFearnheadKillick2011, 
author = "Eckley, I. A. and Fearnhead, P. and Killick, R.", 
title = "Analysis of Changepoint Models", 
booktitle = "Bayesian Time Series Models", 
publisher = "Cambridge University Press", 
year = "2011", 
url = "http://www.cambridge.org/aus/catalogue/catalogue.asp?isbn=9780521196765"
}
    Hackl, P. & Westlund, A.Statistical analysis of “structural change”: An annotated bibliography

    [BibTeX]

    		1989Empirical Economics
    Vol. 14, pp. 167-192     		articleDOI URL 
    BibTeX:
    @article{HacklWestlund1989, 
author = "Hackl, P. and Westlund, A.H.", 
title = "Statistical analysis of “structural change”: An annotated bibliography", 
journal = "Empirical Economics", 
publisher = "Physica-Verlag", 
year = "1989", 
volume = "14", 
pages = "167--192", 
url = "http://dx.doi.org/10.1007/BF01980595", 
doi = "http://dx.doi.org/10.1007/BF01980595"
}
    2012.12.19
    Jandhyala, V., Fotopoulos, S., MacNeill, I. & Liu, P.Inference for single and multiple change-points in time series

    [BibTeX]

    		2013Journal of Time Series Analysis articleDOI URL 
    BibTeX:
    @article{JTSA:JTSA12035, 
author = "Jandhyala, Venkata and Fotopoulos, Stergios and MacNeill, Ian and Liu, Pengyu", 
title = "Inference for single and multiple change-points in time series", 
journal = "Journal of Time Series Analysis", 
year = "2013", 
url = "http://dx.doi.org/10.1111/jtsa12035", 
doi = "http://dx.doi.org/10.1111/jtsa12035"
}
    2013.05.14
    Koziol, J. & Wu, S.A review of nonparametric tests for changepoint problems, with application to a recombinant drug therapy clinical trial.

    [BibTeX]

    		1996J Biopharm Stat.
    Vol. 6(4), pp. 425-441     		article 
    BibTeX:
    @article{KoziolWu1996, 
author = "Koziol, J.A. and Wu, S.C.", 
title = "A review of nonparametric tests for changepoint problems, with application to a recombinant drug therapy clinical trial.", 
journal = "J Biopharm Stat.", 
year = "1996", 
volume = "6", 
number = "4", 
pages = "425--441"
}
    Page, E.S.Continuous Inspection Schemes

    [BibTeX]

    		1954Biometrika
    Vol. 41(1), pp. 100-115     		articleURL 
    BibTeX:
    @article{Page1954, 
author = "Page, E. S.", 
title = "Continuous Inspection Schemes", 
journal = "Biometrika", 
year = "1954", 
volume = "41", 
number = "1", 
pages = "100-115", 
url = "http://biomet.oxfordjournals.org/content/41/1-2/100.extract"
}
    Pawitan, Y.Change-point Problem

    [BibTeX]

    		2005Encyclopedia of Biostatistics inbookDOI URL 
    BibTeX:
    @inbook{Pawitan2005, 
author = "Pawitan, Yudi", 
title = "Change-point Problem", 
booktitle = "Encyclopedia of Biostatistics", 
publisher = "John Wiley & Sons, Ltd", 
year = "2005", 
url = "http://dx.doi.org/10.1002/0470011815.b2a12011", 
doi = "http://dx.doi.org/10.1002/0470011815.b2a12011"
}
    Reeves, J., Chen, J., Wang, X.L., Lund, R. & QiQi, L.A review and comparison of changepoint detection techniques for climate data

    [BibTeX]

    		2007Journal of Applied Meteorology and Climatology
    Vol. 46(6), pp. 900-915     		articleURL 
    BibTeX:
    @article{Jaxk2007, 
author = "Reeves, J. and Chen, J. and Wang, X. L. and Lund, R. and QiQi, L.", 
title = "A review and comparison of changepoint detection techniques for climate data", 
journal = "Journal of Applied Meteorology and Climatology", 
year = "2007", 
volume = "46", 
number = "6", 
pages = "900--915", 
url = "http://journals.ametsoc.org/doi/abs/10.1175/JAM2493.1"
}
    Shaban, S.A.Change Point Problem and Two-Phase Regression: An Annotated Bibliography

    [BibTeX]

    		1980International Statistical Review / Revue Internationale de Statistique
    Vol. 48(1), pp. 83-93     		article 
    BibTeX:
    @article{Shaban1980, 
author = "Shaban, S. A.", 
title = "Change Point Problem and Two-Phase Regression: An Annotated Bibliography", 
journal = "International Statistical Review / Revue Internationale de Statistique", 
publisher = "International Statistical Institute (ISI)", 
year = "1980", 
volume = "48", 
number = "1", 
pages = "83--93"
}
    Shine, J.A. & Gentle, J.E.Alarm activation, pattern discovery, and anomaly detection in sensor networks

    [BibTeX]

    		2012Wiley Interdisciplinary Reviews: Computational Statistics
    Vol. 4(6), pp. 565-570     		articleDOI URL 
    BibTeX:
    @article{WICS:WICS1233, 
author = "Shine, James A. and Gentle, James E.", 
title = "Alarm activation, pattern discovery, and anomaly detection in sensor networks", 
journal = "Wiley Interdisciplinary Reviews: Computational Statistics", 
year = "2012", 
volume = "4", 
number = "6", 
pages = "565--570", 
url = "http://dx.doi.org/10.1002/wics.1233", 
doi = "http://dx.doi.org/10.1002/wics.1233"
}
    2014.02.03
    Silva, E.G. & Teixeira, A.A.Surveying structural change: Seminal contributions and a bibliometric account

    [BibTeX]

    		2008Structural Change and Economic Dynamics
    Vol. 19(4), pp. 273 - 300     		articleDOI URL 
    BibTeX:
    @article{Silva2008273, 
author = "Ester G. Silva and Aurora A.C. Teixeira", 
title = "Surveying structural change: Seminal contributions and a bibliometric account", 
journal = "Structural Change and Economic Dynamics", 
year = "2008", 
volume = "19", 
number = "4", 
pages = "273 - 300", 
url = "http://www.sciencedirect.com/science/article/pii/S0954349X08000192", 
doi = "http://dx.doi.org/10.1016/j.strueco.2008.02.001"
}

    Created by JabRef on 03/02/2014.