Change-point analysis in frequency domain for chronological data

The purpose of this study is to provide a new methodology of how one can consistently estimate a change-point in time series data. In contrast with previous studies, the suggested methodology employs only the empirical spectral density and its first moment. This is accomplished when both the means a...

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Bibliographic Details
Main Authors Terdik, Gyorgy H, Fotopoulos, Stergios B, Jandhyala, Venkata K
Format Journal Article
LanguageEnglish
Published 19.11.2016
Subjects
Statistics - Methodology
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Summary:The purpose of this study is to provide a new methodology of how one can consistently estimate a change-point in time series data. In contrast with previous studies, the suggested methodology employs only the empirical spectral density and its first moment. This is accomplished when both the means and variances before and after the unidentified time point are unknown. Then, the well-known Gauss-Newton algorithm is applied to estimate and provide asymptotic results for the parameters involved. Simulations carried out under different distributions, sizes and unknown time points confirm the validity and accuracy of the methodology. The real-world example considered in the paper illustrates the robustness of the methodology in the presence of even extreme outliers.
DOI:10.48550/arxiv.1611.06381