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3
votes
4answers
92 views

How to characterize abrupt change?

This question may be too basic. For a temporal trend of a data, I would like to find out the point where "abrupt" change happens. For example, in the first figure shown below, I would like to find out ...
0
votes
1answer
33 views

Detecting a step change in time ordered data

Suppose I have data which looks like this: ...
2
votes
0answers
43 views

Where can I find resources to learn about change-point analysis ?

Where can I find resources to learn about change-point analysis ? Hopefully, someone can advise me a textbook to read and it will cover both univariate change-point analysis and multivariate ...
3
votes
1answer
85 views

Analyzing change in categorical data with age

I have data in an excel spreadsheet of around 500 participants in a taste experiment. The data includes the age of the participant, in addition to one of five locations on their tongue in which they ...
4
votes
0answers
31 views

Detecting changepoint in ratio of rates of two Poisson processes

I'm interested in a changepoint detection problem of the following scenario: Consider two Poisson processes for which we have the event times. I'm interested in detecting a change in the relative ...
0
votes
1answer
69 views

How do I detect state change in multivariate time series?

I have a multivariate time series . For each row in the data we have the values of inputs and a label for stability (0 or 1 ) . What are the algorithms that can detect the stability for an unlabelled ...
2
votes
1answer
80 views

find the point at which the curve significantly shoots up

so this is getting a little complex for me and hope someone can help me out. I do not have a mathematical background. I have a time series of daily rainfall for 50 years for a particular location. ...
1
vote
0answers
86 views

Multiple Hypothesis testing correction on non-independent data

Consider a vector $X_i$ with $i \in [1,N]$. Let us say that you divide the vector into two $X_{i}'$ with $i \in [1,j]$ and $X_i''$ with $i \in [j+1, N]$ for several $j$; then for each pair of ...
0
votes
0answers
87 views

Using filtered time series (with moving average) results in bad results from change point detection

I have a question about an observed behavior of doing change point detection with the R package cpm on filtered time series (using an moving average): Currently I’m exploring different methods about ...
2
votes
2answers
177 views

Changepoints in R

I have the following dataset: ...
2
votes
1answer
125 views

required: good and straightforward method to detect change points in dependent univariate time series using r

I know that there are many related threads, packages and papers. Currently I`m reading through many of them. However, I don't plan to dig too deeply into this topic. I need a sound method that works ...
0
votes
0answers
24 views

About penalty setting in package changepoint

I have read the documentation for this package,but there is one place I don't understand, in page 7 the author set the penalty value to 1.5*log(n), where does this "log(n)" originate from? A bracket ...
3
votes
3answers
119 views

Understanding factor potentials in PyMC

I'm trying to understand factor potentials from the PyMC documentation, but need some help on the implementation piece--or it may turn out that I am misunderstanding how potentials work altogether. ...
2
votes
0answers
125 views

Estimating break point in a broken stick / piecewise linear model for one variable while including other as model terms

I am interested in estimating a break point in response to one explanatory variable, while also including other variables as terms in the linear model. One reason to include additional terms is to ...
3
votes
1answer
72 views

Checking that values are piecewise uniform

I have a set of values and I wish to check if they are piecewise uniform. I hope I'm using the correct terms, but I'll explain what I mean. Consider the following values - 100,105,100,103,98. We ...
1
vote
1answer
103 views

Change detection for beginners

I've seen Change detection algorithm - likelihood ratio but I am afraid my question is more basic. I have a sequence $(x_j)_{j=1..N}$ of random observations. I know, these observations are not all ...
2
votes
1answer
67 views

the derivation of the conditional posterior for the Poisson model setting

When discussing the Poisson process with changing point (Carlin, Gelfand and Smith, 1992), the model is assumed as I am not quite clear about the derivation of conditional posterior distribution ...
1
vote
1answer
74 views

The concept of “average run length” in change point detection

With respect to the change point detection for data stream, there is a concept of "average run length", which is discussed in the CPM package manual: I am not clear why that "average number of ...
1
vote
1answer
85 views

How to analyze data which might come from a few normal distribution concatenate together in order?

For example, I have a series of values for example like the following: data <- c(rnorm(10000,40,1500),rnorm(9000,-35,1400),rnorm(11000,30,1300)) I don't know ...
1
vote
0answers
115 views

How to detect step changes in GPS time-series data?

The graph below shows GPS heading data (sampled every second) and I am trying to find the best way to detect (right/left) turns in the data. Appreciate suggestions for algorithms/methods for it ...
3
votes
1answer
729 views

How to simulate a Cox proportional hazards model with change point and code it in R

I have a model that has the following characteristics: The covariate $X$ follows a $Be(1/3)$. If $X=0$, survival time $Y$ follows an $E=Exponential (1)$. If $X=1$, survival time $Y$ is generated as ...
0
votes
0answers
110 views

Changepoint Analysis on differenced data

I was told to run a changepoint analysis in R on my data. But the data shows a decreasing trend, so the changepoint analysis won't be of help (I don't think?). If I differenced the data, to get rid of ...
3
votes
1answer
343 views

Penalty value in changepoint analysis

I'm working with the changepoint R package in R and I understand everything but the penalty value. I know it changes the units of change in the mean, but I still don't know how to interpret it. How do ...
5
votes
2answers
560 views

Python module for change point analysis

I'm looking for a Python module that performs a change-point analysis on a time-series. There are a number of different algorithms and I'd like to explore the efficacy of some of them without having ...
2
votes
1answer
799 views

Change point analysis

Could someone please explain change point to me. I'm using the package in R, and I don't really understand what the different methods mean, the pros and cons of each, and I especially do not ...
2
votes
1answer
147 views

Breakpoint for bivariate data

The breakpoint(s) estimation approach implemented in the strucchange package (Zeilei & al) seems to work very well (based on my little experience with this package on real case studies). Is ...
6
votes
0answers
212 views

Link Anomaly Detection in Temporal Network

I came across this paper that uses link anomaly detection to predict trending topics, and I found it incredibly intriguing: The paper is "Discovering Emerging Topics in Social Streams via Link Anomaly ...
0
votes
1answer
288 views

Change and outliers detection by means ARIMA (Tsay procedure)

I have a question about automatic on-line outliers and change point detection in time series data. Now I read the paper: "Outliers, Level Shifts, and Variance Changes in Time Series" Ruey S.Tsay It's ...
2
votes
1answer
350 views

Testing whether there is an increase between two regression slopes in a time series

I have a data of sea levels from a particular station from 1940 till today. The linear regression on the data from 1940-1980 resulted in a slope of 3. The linear regression on the data from 1980-2010 ...
4
votes
1answer
162 views

How to test for a break in a time series cycle

I've been scratching my head over this issue and would appreciate some help. I have a time series from 1920-2011 which I've used a Baxter Kings filter on to detrend. I would like to test whether the ...
2
votes
1answer
631 views

Tools to detect jumps in a linear time series

I have a financial time series that has a linear down trend, but sometimes a jump happens (see image below). What statistical methods can I use to detect these jumps as early as possible?
2
votes
1answer
164 views

How can I measure the effects certain events have on the frequency of other events over time?

EDIT: added more details following @kjetil comments I have the following problem: I monitor one stream of events of type A - those events can be considered instantaneous. I also monitor additional ...
1
vote
1answer
112 views

Model to detect abnormalities in two-value data?

I have a question concerning data that oscillates between two primary value ranges, and how one might go about determining any performance metrics or abnormalities in that data. Example: I have a ...
3
votes
0answers
132 views

Reference for implementing generalized likelihood ratio test to determine online whether time-series mean has shifted

What is a reference that describes the "generalized likelihood ratio" test to determine online (i.e., meaning that we add an observation, then check, then add an observation, then check) whether the ...
4
votes
1answer
1k views

How to interpret coefficients in a regression with ARIMA errors?

I've got some time-series business data that I can fit relatively well with a ARIMA(2,1,0)(1,1,0)[12] model (using R's excellent ...
3
votes
1answer
201 views

Change detection in circular data

Suppose I have a data set that represents circular data measured in degrees: x <- c(rnorm(1000, 0, 10), rnorm(700, 110, 3), rnorm(1100, 230, 5)) %% 360 The R ...
3
votes
3answers
632 views

Identify different periods of variance in a time series

I have a time series $x_t$ which may go through different phases of volatility. One example might be some stock that has high variance from 9 AM to 11 AM, low variance from 11 AM to 2 PM, and then ...
2
votes
1answer
170 views

How do you interpret a changepoint graph?

What is the correct way of interpreting a changepoint graph? Here is what R gives for changepoint analysis of the mean of a data set: ...
1
vote
2answers
322 views

Filtering techniques and noise

Suppose we have some house price data for 30 years (1970-1999). This is yearly data (30 data points). Suppose some major event $X$ happened on 1980. I want to see whether this event affected prices ...
3
votes
1answer
362 views

Simple random walk and sudden drift, how to detect the change?

I have got the following question relating to random walks. I would like to determine the moment when a random walk changes from being a simple random walk to start to drift at certain time. This sort ...
0
votes
2answers
221 views

multiple change point analysis simultaneously for mean AND variance WITHOUT distribution assumption in R

Is there a multiple change point analysis for both the mean and the variance simultaneously, implemented in R without a distribution assumption? I know the changepoint packet ...
0
votes
0answers
285 views

Interpretation of strucchange::breakpoints in R

OK. I've just read that a breakpoints object with "NA" means no significant structural breakpoint was found, which is fair enough. But then if you call summary() on that breakpoint object, it will ...
1
vote
0answers
225 views

Regime-switching regression

I know that dependence of $x$ and $y$ in my time series data changes in time. Suppose we have monthly time series from 1990 to 2011. If we independently regress $x$ and $y$ for 1990 to 2000 and from ...
1
vote
1answer
291 views

Bootstrap distribution of a breakpoint not centered around its parameter estimate

I estimated the breakpoint for a piecewise linear model (one intercept, two slopes that meet at the breakpoint) by minimizing the deviance using an optimizer (optim ...
4
votes
2answers
427 views

How to detect changes in amplitude?

I have timeseries like this: as you can see there are changes regarding the amplitude. Is there a test to check this kind of changes? Important annotations: I do not know if the series have ...
6
votes
2answers
1k views

Detecting steps in time series

I've attached a picture of the time series I'm talking about. The top is the original series, the bottom is the differenced series. Each data point is a 5 minute average reading from a strain gauge. ...
3
votes
1answer
392 views

Is is possible (or advisable) to do Change Point Analysis on sequence of groups with R?

I'm familiar with post-hoc testing with ANOVA for exploring differences between a sequence of groups, but recently I've been reading about Change Point Analysis ...
9
votes
3answers
3k views

Estimating the break point in a broken stick / piecewise linear model with random effects in R [code and output included]

Can someone please tell me how to have R estimate the break point in a piecewise linear model (as a fixed or random parameter), when I also need to estimate other random effects? I've included a toy ...
8
votes
2answers
128 views

State of the art method(s) to find zero mean portions of a time series

I have noisy time series which I need to segment into those portions with a zero mean and those portions without a zero mean. Finding the boundaries as accurately as possible is important (clearly ...
7
votes
6answers
5k views

How to do piecewise linear regression with multiple unknown knots?

Are there any packages to do piecewise linear regression, which can detect the multiple knots automatically? Thanks. When I use the strucchange package. I could not detect the change points. I have no ...