Detecting multiple mean breaks at unknown points in official time series

DOI10.1016/j.matcom.2008.01.041zbMath1143.65009OpenAlexW2018176499WikidataQ60401485 ScholiaQ60401485MaRDI QIDQ929718

Richard N. Penny, Carmela Cappelli, Marco Reale, William S. Rea

Publication date: 18 June 2008

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2008.01.041

zbMATH Keywords

partitioningnumerical examplesregression treesX-12 ARIMA

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (6)

Wavelet Fisher's information measure of \(1/f^\alpha\) signals ⋮ Wavelet \(q\)-Fisher information for scaling signal analysis ⋮ Distinguishing stationary/nonstationary scaling processes using wavelet Tsallis \(q\)-entropies ⋮ Change point analysis of imprecise time series ⋮ Atheoretical regression trees for classifying risky financial institutions ⋮ Strong convergence rate of robust estimator of change point

Cites Work

• Unnamed Item
• Estimating the dimension of a model
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• On Grouping for Maximum Homogeneity
• Tests of Equality Between Sets of Coefficients in Two Linear Regressions
• Printer graphics for clustering
• Estimating and Testing Linear Models with Multiple Structural Changes
• Seasonal adjustment with the X-11 method

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