Arbeitspapier
Mean shift detection under long-range dependencies with ART
Atheoretical regression trees (ART) are applied to detect changes in the mean of a stationary long memory time series when location and number are unknown. It is shown that the BIC, which is almost always used as a pruning method, does not operate well in the long memory framework. A new method is developed to determine the number of mean shifts. A Monte Carlo Study and an application is given to show the performance of the method.
- Sprache
-
Englisch
- Erschienen in
-
Series: Diskussionsbeitrag ; No. 437
- Klassifikation
-
Wirtschaft
Semiparametric and Nonparametric Methods: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- Thema
-
long memory
mean shift
regression tree
ART
BIC
Zeitreihenanalyse
Maßzahl
Regression
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Willert, Juliane
- Ereignis
-
Veröffentlichung
- (wer)
-
Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
- (wo)
-
Hannover
- (wann)
-
2010
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Willert, Juliane
- Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
Entstanden
- 2010
Ähnliche Objekte (12)
Testing for a break in persistence under long-range dependencies and mean shifts
Mean Shift versus Variance Inflation Approach for Outlier Detection—A Comparative Study
Testing for a break in persistence under long-range dependencies
Detection of long-range orbital-Hall torques
Abandoning emotion classes - towards continuous emotion recognition with modelling of long-range dependencies
Robust discrimination between long-range dependence and a change in mean
Robust discrimination between long-range dependence and a change in mean
Robust discrimination between long‐range dependence and a change in mean
Implications of China's innovation policy shift: Does “indigenous” mean closed?
Implications of China's innovation policy shift: Does “indigenous” mean closed?
Detection of long-range dependence : applications in climatology and hydrology
Empirical likelihood confidence intervals for the mean of a long-range dependent process
Testing for a break in persistence under long-range dependencies and mean shifts
Mean Shift versus Variance Inflation Approach for Outlier Detection—A Comparative Study
Testing for a break in persistence under long-range dependencies
Detection of long-range orbital-Hall torques
Abandoning emotion classes - towards continuous emotion recognition with modelling of long-range dependencies
Robust discrimination between long-range dependence and a change in mean
Robust discrimination between long-range dependence and a change in mean
Robust discrimination between long‐range dependence and a change in mean
Implications of China's innovation policy shift: Does “indigenous” mean closed?
Implications of China's innovation policy shift: Does “indigenous” mean closed?
Detection of long-range dependence : applications in climatology and hydrology
Empirical likelihood confidence intervals for the mean of a long-range dependent process
Testing for a break in persistence under long-range dependencies and mean shifts
Mean Shift versus Variance Inflation Approach for Outlier Detection—A Comparative Study
Testing for a break in persistence under long-range dependencies
Detection of long-range orbital-Hall torques
Abandoning emotion classes - towards continuous emotion recognition with modelling of long-range dependencies
Robust discrimination between long-range dependence and a change in mean
Robust discrimination between long-range dependence and a change in mean
Robust discrimination between long‐range dependence and a change in mean
Implications of China's innovation policy shift: Does “indigenous” mean closed?
Implications of China's innovation policy shift: Does “indigenous” mean closed?
Detection of long-range dependence : applications in climatology and hydrology