Inference for single and multiple change-points in time series


Correspondence to: Venkata K. Jandhyala, Department of Mathematics, Washington State University, Pullman, WA 99164-3113, USA.



The article reviews methods of inference for single and multiple change-points in time series, when data are of retrospective (off-line) type. The inferential methods reviewed for a single change-point in time series include likelihood, Bayes, Bayes-type and some relevant non-parametric methods. Inference for multiple change-points requires methods that can handle large data sets and can be implemented efficiently for estimating the number of change-points as well as their locations. Our review in this important area focuses on some of the recent advances in this direction. Greater emphasis is placed on multivariate data while reviewing inferential methods for a single change-point in time series. Throughout the article, more attention is paid to estimation of unknown change-point(s) in time series, and this is especially true in the case of multiple change-points. Some specific data sets for which change-point modelling has been carried out in the literature are provided as illustrative examples under both single and multiple change-point scenarios.