Discussion of ‘Detecting possibly frequent change-points: Wild Binary Segmentation 2 and steepest-drop model selection’

We congratulate the author for this interesting paper which introduces a novel method for the data segmentation problem that works well in a classical change point setting as well as in a frequent jump situation. Most notably, the paper introduces a new model selection step based on finding the ‘steepest drop to low levels’ (SDLL). Since the new model selection requires a complete (or at least relatively deep) solution path ordering the change point candidates according to some measure of importance, a new recursive variant of the Wild Binary Segmentation (Fryzlewicz in Ann Stat 42:2243–2281, 2014, WBS) named WBS2, has been proposed for candidate generation.