Geodesic
Multiscale approach for change point detection
Teoriâ veroâtnostej i ee primeneniâ, Tome 61 (2016) no. 4, pp. 774-804

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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. 
@article{TVP_2016_61_4_a7,
     author = {A. L. Suvorikova and V. G. Spokoiny},
     title = {Multiscale approach for change point detection},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {774--804},
     publisher = {mathdoc},
     volume = {61},
     number = {4},
     year = {2016},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_2016_61_4_a7/}
}
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A. L. Suvorikova; V. G. Spokoiny. Multiscale approach for change point detection. Teoriâ veroâtnostej i ee primeneniâ, Tome 61 (2016) no. 4, pp. 774-804. http://geodesic.mathdoc.fr/item/TVP_2016_61_4_a7/