A Diagnostic Measure for Level Shifts in Time Series

• 발행기관: 한국자료분석학회
• 저자명: 이종협(Jonghyup Lee)
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.10 No.4, 1875~1886쪽, 전체 12쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2008.08.30

영문 초록

A diagnostic measure used in regression analysis is considered for detection of level shifts in autoregressive time series. A detection measure based on extra-sum-of-squares principle for level shifts is developed. The asymptotic distribution of the detection measure is obtained. An iterative procedure for modeling time series in the presence of level shifts is proposed and an approximation of the effect of level shifts is suggested to perform the iterative procedure. An example is presented to illustrate the methodology.

목차

1. Introduction

2. A Diagnostic Statistic

3. Asymptotic properties of Q L, T

4. Detection procedure for a level shift

5. An illustrative example

6. Remarks

References

키워드

Level shift Autoregressive process Diagnostic measure