Tagged Questions

3
votes
0answers
38 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 ...
2
votes
1answer
97 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
87 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 ...
0
votes
0answers
31 views

Structural Changepoint Analysis in Constrained Regression

I want to find a satisfying solution or references to the following problem: Given the daily return timeseries of a fund of fund whose allocation changes at certain points in time. There is a small ...
2
votes
1answer
235 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
136 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
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 ...
2
votes
0answers
75 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
405 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
3answers
207 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 ...
0
votes
2answers
198 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 ...
4
votes
2answers
295 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
503 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
0answers
169 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 ...
8
votes
2answers
117 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 ...
9
votes
5answers
1k 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 ...
1
vote
4answers
732 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
0
votes
0answers
236 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
150 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 ...
4
votes
1answer
351 views

Automatically detecting sudden change of mean

Take a look at this photo: It depicts a box plot of series of identical runs for successive i values. (AFAIK it's the standard Min/Max and 1rst, 2nd, 3rd quartiles.) So the x-axis of 1 represents ...
11
votes
1answer
497 views

Determining if change in a time series is statistically significant

I have the total number of calls received each week and have plotted them on a chart, going back nearly 3 years. By eye it seems that there was a massive drop over Christmas, that doesn't seem to ...
6
votes
1answer
678 views

Chow test or not?

I am trying to set up an automatic screen to detect structural breaks in large numbers of time series. The time series are weekly and represent behaviour of customers. I have set up a Chow test. I ...
7
votes
1answer
1k views

Detect changes in time series

I came across a picture of an application prototype that finds significant changes ("trends" - not spikes/outliers) in traffic data: I want to write a program (Java, optionally R) that is able to ...
2
votes
1answer
396 views

Time-series data pre-aggregated into non-stationary rolling 12-month periods: are there special considerations for modeling?

I'm exploring the use of changepoint detection or other methods (am slowly becoming aware of wavelet transformation, etc. but have tons to learn in this area) to identify key shifts in health care ...