Identification of level shifts in stationary processes

Rea, W.; Reale, M.; Capelli, C.; Brown, J.A.

View/Open

12601509_Main.pdf (148.7Kb)

Type of Content

Conference Contributions - Published

UC Permalink

http://hdl.handle.net/10092/87

Publisher

University of Canterbury. Mathematics and Statistics.

Collections

Engineering: Conference Contributions [2073]

Authors

Rea, W., Reale, M., Capelli, C., Brown, J.A.

Abstract

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.

Citation

Rea, 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.
This citation is automatically generated and may be unreliable. Use as a guide only.

Keywords

structural breaks; regression trees; time series

Rights

https://hdl.handle.net/10092/17651