Publications

Journal Articles

E. T. McGonigle, H. Cho (2025+) Nonparametric data segmentation in multivariate time series via joint characteristic functions. Biometrika (to appear) [ArXiv link] [Link to R package on CRAN].
E. T. McGonigle, R. Killick, M. A. Nunes (2024+). TrendLSW: Trend and Spectral Estimation of Nonstationary Time Series in R. Journal of Statistical Software (to appear) [ArXiv link] [Link to R package on CRAN].
E. T. McGonigle, H. Cho (2023). Robust multiscale estimation of time-average variance for time series segmentation. Computational Statistics and Data Analysis 179,107648 [Open Access link] [Link to code on Github].
E. T. McGonigle, R. Killick, M. A. Nunes (2022). Modelling time-varying first and second-order structure of time series via wavelets and differencing. Electronic Journal of Statistics 16 (2):4398-4448. [Open Access link] [Link to R package on CRAN].
E. T. McGonigle, R. Killick, M. A. Nunes (2022). Trend locally stationary wavelet processes. Journal of Time Series Analysis 43(6):895-917. [Open Access link] [Link to R package on CRAN].
E. T. McGonigle, R. Killick, M. A. Nunes (2021). Detecting changes in mean in the presence of time-varying autocovariance. Stat 10 (1), e351. [Open Access link].

E. T. McGonigle, H. Peng (2021). Subspace Change-Point Detection via Low-Rank Matrix Factorisation. [ArXiv link].

E. T. McGonigle (2020). Wavelet Methods for Locally Stationary Time Series, Lancaster University, 2020. [pdf]

E. T. McGonigle, R. Killick, M. A. Nunes (2024). TrendLSW: Wavelet methods for analysing locally stationary time series. [Link to R package on CRAN].
E. T. McGonigle, H. Cho (2023). CptNonPar: Nonparametric change point detection for multivariate time series. [Link to R package on CRAN].