کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1140295 1489434 2008 6 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Detecting multiple mean breaks at unknown points in official time series
موضوعات مرتبط
مهندسی و علوم پایه سایر رشته های مهندسی کنترل و سیستم های مهندسی
پیش نمایش صفحه اول مقاله
Detecting multiple mean breaks at unknown points in official time series
چکیده انگلیسی

In this paper, we propose a computationally effective approach to detect multiple structural breaks in the mean occurring at unknown dates. We present a non-parametric approach that exploits, in the framework of least squares regression trees, the contiguity property of data generating processes in time series data. The proposed approach is applied first to simulated data and then to the Quarterly Gross Domestic Product in New Zealand to assess some of anomalous observations indicated by the seasonal adjustment procedure implemented in X12-ARIMA are actually structural breaks.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Mathematics and Computers in Simulation - Volume 78, Issues 2–3, July 2008, Pages 351–356
نویسندگان
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