I'm working with temporal simulations (forward in time) and I would like to find the best way to detect the two major change points in this time series.
I have several replicates of the same simulation, then my idea was to collect the two change points identified for each replicate and average 1) the first change point among replicates; and 2) the second change point among replicates.
I found the package tsoutliers
but does not find what I would expect.
This is an example of one replicate. The data are not continuous in the sense that I'm collecting data with an interval time of 50.
data<-c(0.01516377,0.01426401,0.01293092,0.01197672,0.01777328,0.01513655,0.01464312,0.01134877,0.01394351,
0.01841415,0.01465141,0.01662577,0.01431855,0.01709126,0.01427008,0.01633598,0.01592693,0.01428456,
0.01478259,0.01409589,0.01477847,0.02530393,0.03750182,0.03212164,0.02343575,0.03001415,0.04005386,
0.03490057,0.03762527,0.03798278,0.02948298,0.03047519,0.03823259,0.03836810,0.04254081,0.04268210,
0.03375728,0.03724411,0.03615817,0.04067189,0.05058244,0.04777934,0.04200034,0.04249145,0.05403044,
0.04748773,0.04695485,0.04226534,0.03882807,0.04164517,0.04562888,0.03819429,0.04346850,0.04188714,
0.04042580,0.03863569,0.02794996,0.03403659,0.04118528,0.03850582,0.04560576,0.02849807,0.04056327,
0.04398593,0.03483359,0.03847835,0.03761654,0.03682544,0.03955815,0.03892210,0.04148052,0.04137503,
0.04147201,0.03277047,0.03959029,0.04737270,0.03709050,0.04513550,0.05063302,0.05353608,0.04153208,
0.04001323,0.04014528,0.05278923,0.04249564,0.04494758,0.04896572,0.04406259,0.04368667,0.04159133,
0.04218148,0.04632765,0.04816140,0.03725149,0.05110241,0.04445239,0.04348772,0.03297161,0.03249867,
0.04658435,0.04358190)
dat.ts<- ts(data,frequency=1)
library(tsoutliers)
data.ts.outliers <- tso(dat.ts, types = c("AO", "LS", "TC"))
data.ts.outliers
plot(data.ts.outliers)
Do you have any suggestion on which method would be the best?
The other option I was considering is to obtain the mean and variance for each time point and make pairwise statistical test for consecutive time points.