The Multiple Filter Test for Change Point Detection

Provides statistical tests and algorithms for the detection of change points in time series and point processes - particularly for changes in the mean in time series and for changes in the rate and in the variance in point processes. References - Michael Messer, Marietta Kirchner, Julia Schiemann, Jochen Roeper, Ralph Neininger and Gaby Schneider (2014), A multiple filter test for the detection of rate changes in renewal processes with varying variance . Stefan Albert, Michael Messer, Julia Schiemann, Jochen Roeper, Gaby Schneider (2017), Multi-scale detection of variance changes in renewal processes in the presence of rate change points . Michael Messer, Kaue M. Costa, Jochen Roeper and Gaby Schneider (2017), Multi-scale detection of rate changes in spike trains with weak dependencies . Michael Messer, Stefan Albert and Gaby Schneider (2018), The multiple filter test for change point detection in time series . Michael Messer, Hendrik Backhaus, Albrecht Stroh and Gaby Schneider (2020) A multi-scale approach for testing and detecting peaks in time series .