Detection of Structural Breaks in Time Series Using Fuzzy Techniques

Time series forecasting using fuzzy techniques

The aim of this contribution is to show the opportunities of applying of fuzzy time series models to predict multiple heterogeneous time series, given at International Time Series Forecasting Competition [http://irafm.osu.cz/cif/main.php]. The dataset of this competition includes 91 time series of different length, time frequencies and behaviour. In this paper the framework (algorithm) of multi...

Which OIC countries are catching up? Time Series Evidences with Multiple Structural Breaks

Abstract In this paper, income per capita convergence hypothesis is tested in selected OIC countries. For this purpose, we use the time series model and univariate KPSS stationary test with multiple structural breaks (Carrion-i-Silvestre et al. (2005)) over the period 1950-2008. The results show that most OIC countries could not catch up toward USA. Although because of some positive term of tra...

Nonlinearity, Structural Breaks or Outliers in Economic Time Series?

This paper has its motivation from discussions at the E C 2 conference in 1995. y Financial support from the Social Sciences and Humanities Research Council of Canada is gratefully acknowledged , as are helpful discussions with Sid Chib and Les Oxley. z Financial support from the Academic Senate UCLA and Center for Computable Economics, UCLA is gratefully acknowledged. In recent years there has...

State-Space Time Series Modeling of Structural Breaks

Real time detection of structural breaks in GARCH models

A sequential Monte Carlo method for estimating GARCH models subject to an unknown number of structural breaks is proposed. Particle filtering techniques allow for fast and efficient updates of posterior quantities and forecasts in real time. The method conveniently deals with the path dependence problem that arises in these types of models. The performance of the method is shown to work well us...