Bookcover of Detecting Autocovariance Change in Time Series
Booktitle:

Detecting Autocovariance Change in Time Series

A Simple Technique using Moving Window to Detect Change Point in Time Series

VDM Verlag Dr. Müller (2009-07-17 )

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ISBN-13:

978-3-639-17290-4

ISBN-10:
3639172906
EAN:
9783639172904
Book language:
English
Blurb/Shorttext:
A new test to detect changes in the covariance structure of a time series is developed. The test does not involve direct fitting of an assumed model for the time series. It is based on detecting changes in autocovariances calculated in a moving window through the series. The use of standard tests of time series change points is inappropriate because of the correlations imposed by the moving windows. This requires the development of new adjustments to existing time series change point tests. The ability of this moving window technique to detect changes in the lag one autocovariance of autoregressive and moving average time series is studied. We illustrate the application of this new test on UK Treasury bill rates and airline travel data.
Publishing house:
VDM Verlag Dr. Müller
Website:
http://www.vdm-verlag.de
By (author) :
Wisam Yaghi
Number of pages:
104
Published on:
2009-07-17
Stock:
Available
Category:
Theory of probability, stochastics, mathematical statistics
Price:
49.00 €
Keywords:
change point, moving window, parameter change, autocovariance change, Cusum test, structural change, time series, likelihood ratio test, DETECTION

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