# Finding statistically significant changes in a time series

What would be the proper way to determine statistically significant changes between time periods within a time series (between Yn and Yn+1)? I thought about taking the first difference and calculating the z value for the difference value.

• Please consider editing to say what type of change you're trying to detect, the nature of your data, and any relevant assumptions. As a general hint for finding relevant literature, what you're trying to do is called "changepoint detection" – user20160 Jun 26 '18 at 4:12
• Changepoint detection is what I was looking for. – Jeff Jun 26 '18 at 23:49

With provided details I think a self-extracting threshold model might server your purpose. If you are an R programming language user you can use tsDyn package. The setar function in the package can fit model to different regimes determined by significant change.