Identification of level shifts in stationary processes (2006)
AuthorsRea, W., Reale, M., Capelli, C., Brown, J.A.show all
ART was introduced as a modified use of CART methodology for quick detection of structural breaks in the mean levels. In this paper simulations are presented to test ART against a number of different types of time series, to find a good pruning method, and to compare with alternative approaches.
CitationRea, W., Reale, M., Capelli, C., Brown, J.A. (2006) Identification of level shifts in stationary processes. National University of Ireland, Galway, Ireland: 21st International Workshop on Statistical Modelling, 3-7 Jul 2006. Proceedings of the 21st International Workshop on Statistical Modelling Conference 2006, 438-441.
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