Tid: 9 juni 2014 kl 10.00-10.45.Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedtsvägen 25, plan 7. Karta!
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.
|Sidansvarig: Filip Lindskog