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A multiple window scan statistic for time series models

Author

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  • Wang, Xiao
  • Zhao, Bo
  • Glaz, Joseph

Abstract

In this article we extend the results derived for scan statistics in Wang and Glaz (2014) for independent normal observations. We investigate the performance of two approximations for the distribution of fixed window scan statistics for time series models. An R algorithm for computing multivariate normal probabilities established in Genz and Bretz (2009) can be used along with proposed approximations to implement fixed window scan statistics for ARMA models. The accuracy of these approximations is investigated via simulation. Moreover, a multiple window scan statistic is defined for detecting a local change in the mean of a Gaussian white noise component in ARMA models, when the appropriate length of the scanning window is unknown. Based on the numerical results, for power comparisons of the scan statistics, we can conclude that when the window size of a local change is unknown, the multiple window scan statistic outperforms the fixed window scan statistics.

Suggested Citation

  • Wang, Xiao & Zhao, Bo & Glaz, Joseph, 2014. "A multiple window scan statistic for time series models," Statistics & Probability Letters, Elsevier, vol. 94(C), pages 196-203.
    • Handle: RePEc:eee:stapro:v:94:y:2014:i:c:p:196-203
    DOI: 10.1016/j.spl.2014.07.025
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    References listed on IDEAS

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    1. Haiman, George & Preda, Cristian, 2013. "One dimensional scan statistics generated by some dependent stationary sequences," Statistics & Probability Letters, Elsevier, vol. 83(5), pages 1457-1463.
    2. Amihud, Yakov, 2002. "Illiquidity and stock returns: cross-section and time-series effects," Journal of Financial Markets, Elsevier, vol. 5(1), pages 31-56, January.
    3. Xiao Wang & Joseph Glaz, 2014. "Variable Window Scan Statistics for Normal Data," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 43(10-12), pages 2489-2504, May.
    4. Joseph Glaz & Joseph Naus & Xiao Wang, 2012. "Approximations and Inequalities for Moving Sums," Methodology and Computing in Applied Probability, Springer, vol. 14(3), pages 597-616, September.
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    Cited by:

    1. Jie Chen & Thomas Ferguson & Paul Jorgensen, 2020. "Using Scan Statistics for Cluster Detection: Recognizing Real Bandwagons," Methodology and Computing in Applied Probability, Springer, vol. 22(4), pages 1481-1491, December.
    2. Alexandru Amarioarei & Cristian Preda, 2020. "One Dimensional Discrete Scan Statistics for Dependent Models and Some Related Problems," Mathematics, MDPI, vol. 8(4), pages 1-11, April.
    3. Jack Noonan & Anatoly Zhigljavsky, 2021. "Approximations for the Boundary Crossing Probabilities of Moving Sums of Random Variables," Methodology and Computing in Applied Probability, Springer, vol. 23(3), pages 873-892, September.
    4. Qianzhu Wu & Joseph Glaz, 2021. "Scan Statistics for Normal Data with Outliers," Methodology and Computing in Applied Probability, Springer, vol. 23(1), pages 429-458, March.
    5. Zhao, Bo & Glaz, Joseph, 2016. "Scan statistics for detecting a local change in variance for normal data with unknown population variance," Statistics & Probability Letters, Elsevier, vol. 110(C), pages 137-145.

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