Identification of level shifts in stationary processes

Type of content
Conference Contributions - Published
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Degree name
Publisher
University of Canterbury. Mathematics and Statistics.
Journal Title
Journal ISSN
Volume Title
Language
Date
2006
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.

Description
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.
Keywords
structural breaks, regression trees, time series
Ngā upoko tukutuku/Māori subject headings
ANZSRC fields of research
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