Detecting changes in mean in the presence of time-varying autocovariance

Euan T McGonigle, Rebecca Killick, Matthew Nunes

Research output: Contribution to journalArticle (Academic Journal)peer-review

Abstract

There has been much attention in recent years to the problem of detecting mean changes in a piecewise constant time series. Often, methods assume that the noise can be taken to be independent, identically distributed (IID), which in practice may not be a reasonable assumption. There is comparatively little work studying the problem of mean changepoint detection in time series with non-trivial autocovariance structure. In this article, we propose a likelihood-based method using wavelets to detect changes in mean in time series that exhibit time-varying autocovariance. Our proposed technique is shown to work well for time series with a variety of error structures via a simulation study, and we demonstrate its effectiveness on two data examples arising in economics.
Original languageEnglish
Article numbere351
JournalStat
Volume10
Issue number1
Early online date15 Jan 2021
DOIs
Publication statusPublished - 15 Jan 2021

Bibliographical note

Funding Information:
E. T. McGonigle gratefully acknowledges financial support from the Numerical Algorithms Group and EPSRC.

Publisher Copyright:
© 2021 The Authors. Stat published by John Wiley & Sons Ltd.

Keywords

  • changepoints
  • wavelets
  • Locally stationary
  • autocorrelation

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