Comments on: Extensions of some classical methods in change point analysis

Abstract

Professor Horvath co-authored in 1997 the book entitled “Limit theorems in changepoint analysis”. It can be seen as a milestone in the history of this topic that has a history of over 50 years. This review paper is very interesting, timely, highly informative and provides a comprehensive summary of the recent research on change-point analysis. This research has deserved considerable attention during the last years and is expected to develop new results in the near future. Professors Horvath and Rice are to be congratulated for this succinct and insightful presentation of the state-of-art of the change-point methodology. The review not only considers the most frequently used classical methods and ideas in change-point analysis but also some new methodology developed in the last years in relation to time series, multivariate, panel data and functional data. The applications of several classical results to real data sets permit us a better understanding as well as showing the importance and scope of this theory that was originated in the 1940s but is currently an active area of research. It is an almost an impossible task to review the very extensive literature on change-point analysis in a single paper. Nevertheless, the paper contains a very rich collection of the contributions not only from the classical results but also from the most recent papers in change-point analysis. We want to thank professors Horvath and Rice for their enormous effort in bringing us all this existing material on a topic of the highest relevance.