Change-point problem in the Fraction-Of-Time approach
Authors:
- Jacek Leśkow,
- Bartosz Stawiarski
Abstract
We examine the applicationally vital change-point problem using the Fraction-of-Time (FOT) approach. Specifically, in our extensive simulations, two techniques are proposed in order to estimate an unknown (possibly multiple) time r, at which the dynamics of a given process undergoes an abrupt, strutural change. Both the 3-D empirical FOT distribution profile calculated upon a moving time window, and differenced quantile process detect the change-points satisfactorily well in case of simulated as well as real time series. The paper lays the foundations for tackling the problem numerically in the nonstochastic framework, whereas some future research concerning theory helpful in optimizing the proposed techniques calls for separate development.
- Record ID
- CUT6472a8906942409bb81e7189b5607921
- Publication categories
- ; ;
- Author
- Pages
- 35-49
- Other elements of collation
- wykr.; Bibliografia (na s.) - 49; Bibliografia (liczba pozycji) - 3; Oznaczenie streszczenia - Abstr.
- Book
- Chaari Fakher, Fakher Chaari Leskow Jacek, Jacek Leskow Napolitano Antonio Antonio Napolitano [et al.] (eds.): Cyclostationarity: Theory and Methods III : contributions to the 9th Workshop on Cyclostationary Systems and Their Applications, Grodek, Poland, 2016, Applied condition monitoring, no. 6, 2017, Cham, Switzerland, Springer, Springer International Publishing AG, VIII, 257 p., ISBN 978-3-319-51444-4. DOI:10.1007/978-3-319-51445-1 Opening in a new tab
- Keywords in English
- Fraction-Of-Time (FOT), change-point detection, structural breaks, empirical distribution
- DOI
- DOI:10.1007/978-3-319-51445-1_3 Opening in a new tab
- URL
- http://www.springer.com/gp/book/9783319514444 Opening in a new tab
- Language
- eng (en) English
- Score (nominal)
- 20
- Additional fields
- Indeksowana w: Scopus
- Uniform Resource Identifier
- https://cris.pk.edu.pl/info/article/CUT6472a8906942409bb81e7189b5607921/
- URN
urn:pkr-prod:CUT6472a8906942409bb81e7189b5607921
* presented citation count is obtained through Internet information analysis, and it is close to the number calculated by the Publish or PerishOpening in a new tab system.