Tid: 9 juni 2014 kl 10.00-10.45.

Föredragshållare: Johan Andersson

Titel: Locating Multiple Change-Points Using a Combination of Methods (Master Thesis)

Abstract The aim of this study is to find a method that is able to locate multiple change-points in a time series with unknown properties. The methods that are investigated are the CUSUM and CUSUM of squares test, the CUSUM test with OLS residuals, the Mann-Whitney test and Quandt's log likelihood ratio. Since all methods are detecting single change-points, the binary segmentation technique is used to find multiple change-points. The study shows that the CUSUM test with OLS residuals, Mann-Whitney test and Quandt's log likelihood ratio work well on most samples while the CUSUM and CUSUM of squares are not able to detect the location of the change-points. Furthermore the study shows that the binary segmentation technique works well with all methods and is able to detect multiple change-points in most circumstances. The study also shows that the results can, most of the time, be improved by using a combination of the methods.

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