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Frequent or systematic changes? discussion on “Detecting possibly frequent change-points: Wild Binary Segmentation 2 and steepest-drop model selection.”

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A Reply to this article was published on 16 September 2020

The Original Article was published on 02 March 2020

Abstract

We discuss Fryzlewicz’s paper 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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Authors and Affiliations

  1. Department of Economics, Seoul National University, Gwan-Ak Ro 1, Seoul, Korea

    Myung Hwan Seo

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  1. Myung Hwan Seo
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Correspondence to Myung Hwan Seo.

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This work was supported by the Ministry of Education of the Republic of Korea and the National Research Foundation of Korea (NRF-2018S1A5A2A01033487).

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Seo, M.H. Frequent or systematic changes? discussion on “Detecting possibly frequent change-points: Wild Binary Segmentation 2 and steepest-drop model selection.”. J. Korean Stat. Soc. 49, 1096–1098 (2020). https://doi.org/10.1007/s42952-020-00078-1

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  • DOI: https://doi.org/10.1007/s42952-020-00078-1

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