Tagged Questions

1
vote
1answer
53 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
3answers
211 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 ...
1
vote
0answers
346 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 ...