Time series segmentation by Cusum, AutoSLEX and AutoPARM methods
AbstractTime series segmentation has many applications in several disciplines as neurology, cardiology, speech, geology and others. Many time series in this fields do not behave as stationary and the usual transformations to linearity cannot be used. This paper describes and evaluates different methods for segmenting non-stationary time series. We propose a modification of the algorithm in Lee et al. (2003) which is designed to searching for a unique change in the parameters of a time series, in order to find more than one change using an iterative procedure. We evaluate the performance of three approaches for segmenting time series: AutoSLEX (Ombao et al., 2002), AutoPARM (Davis et al., 2006) and the iterative cusum method mentioned above and referred as ICM. The evaluation of each methodology consists of two steps. First, we compute how many times each procedure fails in segmenting stationary processes properly. Second, we analyze the effect of different change patterns by counting how many times the corresponding methodology correctly segments a piecewise stationary process. ICM method has a better performance than AutoSLEX for piecewise stationary processes. AutoPARM presents a very satisfactory behaviour. The performance of the three methods is illustrated with time series datasets of neurology and speech
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Bibliographic InfoPaper provided by Universidad Carlos III, Departamento de Estadística y Econometría in its series Statistics and Econometrics Working Papers with number ws098025.
Date of creation: Dec 2009
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Time series segmentation; AutoSLEX; AutoPARM; Cusum Methods;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2010-01-10 (All new papers)
- NEP-ECM-2010-01-10 (Econometrics)
- NEP-ETS-2010-01-10 (Econometric Time Series)
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- Hernando Ombao & Jonathan Raz & Rainer von Sachs & Wensheng Guo, 2002. "The SLEX Model of a Non-Stationary Random Process," Annals of the Institute of Statistical Mathematics, Springer, vol. 54(1), pages 171-200, March.
- Hsiao-Yun Huang & Hernando Ombao & David S. Stoffer, 2004. "Discrimination and Classification of Nonstationary Time Series Using the SLEX Model," Journal of the American Statistical Association, American Statistical Association, vol. 99, pages 763-774, January.
- Sangyeol Lee & Jeongcheol Ha & Okyoung Na & Seongryong Na, 2003. "The Cusum Test for Parameter Change in Time Series Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics & Finnish Statistical Society & Norwegian Statistical Association & Swedish Statistical Association, vol. 30(4), pages 781-796.
- Davis, Richard A. & Lee, Thomas C.M. & Rodriguez-Yam, Gabriel A., 2006. "Structural Break Estimation for Nonstationary Time Series Models," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 223-239, March.
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