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0
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0answers
12 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 ...
2
votes
3answers
73 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
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0answers
72 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
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1answer
52 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
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1answer
68 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
41 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
51 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
76 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
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0answers
79 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 ...
0
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0answers
41 views

Detection of activity areas in time series

I am working on 4-dimension time series in which I would like to detect anomaly patterns with varying lengths and shapes. The time-series are residuals generated by an evolving clustering method. The ...
3
votes
1answer
419 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
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0answers
88 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 ...
2
votes
1answer
189 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 ...
4
votes
1answer
335 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
319 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
128 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
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0answers
128 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
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1answer
235 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
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1answer
283 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
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1answer
151 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
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1answer
510 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
158 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
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1answer
91 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
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0answers
111 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
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1answer
745 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
168 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
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3answers
468 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
146 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
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2answers
288 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
317 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
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2answers
191 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
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0answers
242 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
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1answer
262 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
388 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
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2answers
922 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
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1answer
314 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
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3answers
2k 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
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2answers
125 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
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6answers
4k 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 ...
11
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6answers
2k views

How to detect a significant change in time series data due to a “policy” change?

I hope this is the right place to post this, I considered posting it on skeptics, but I figure they'd just say the study was statistically wrong. I'm curious about the flip side of the question which ...
6
votes
2answers
255 views

Detecting changes in distribution of multiple variables

I am a bit new to this field. So I needed help in finding out which topic should I focus on for achieving this. Suppose I have N dependent random variables. I have n samples of each of these random ...
1
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5answers
2k views

How to detect structural change in a timeseries

Is there a specific method to detect change points(structural breaks) in a timeseries?(stocks prices) Thanks
3
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0answers
358 views

How to find the “optimal” cutoff-points in a non-linear relationship?

I have the following challenge: The dataset has one dependent and one independent variable which are connected in a non-linear fashion. I am trying to give a more qualitative picture here because I am ...
2
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0answers
346 views

Change points in the mean and in the variance using R

Hi I am trying to check the existence of change points in the mean and in the variance using R. My data is not normally distributed, so I want to use the cusum test. Also I want the significance level ...
4
votes
2answers
437 views

Change-point in Cox survival model

I am looking to fit a Cox proportional hazard survival model. Looking at the K-M curve (below) for one variable (with 2 categories) it appears there is a change in hazard ratios at around day 110. I ...
2
votes
0answers
433 views

How to detect changepoint with a bit of tolerance?

I'm using the changepoint package in R because I need to check if the variance is stable or if there are some breaks inside. The function cpt.var does the job well but there is not a parameter to set ...
0
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0answers
305 views

How to use gradient to obtain critical points of Time series?

How to determine the number of critical points for some time series (for example, using gradient)? As far as I understand I have to do the following steps: Fit the time series with some "curve" ...
1
vote
1answer
789 views

Segmented nonlinear regression in R? [duplicate]

Possible Duplicate: Change point analysis using R's nls() I want to do a nonlinear regression with nls() but also include a specific type of segmented or piecewise regression. The ...
2
votes
1answer
1k views

What is sequential change point detection?

Could someone point me to an introductory-level explanation (think Wikipedia entry) of what sequential change point detection is?
1
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1answer
180 views

Number of segments to divide a time-series

Suppose we have time-series $ X_t $ and it has the following decomposition $$X_t=\mu + \varepsilon_t,$$ where $\mu$ is a mean and $\varepsilon_t$ - the error term. The model complexity will ...