Multiple changepoint detection for periodic autoregressive models with an application to river flow analysis

Identification of periodic autoregressive moving average models and their application to the modeling of river flows

[1] The generation of synthetic river flow samples that can reproduce the essential statistical features of historical river flows is useful for the planning, design, and operation of water resource systems. Most river flow series are periodically stationary; that is, their mean and covariance functions are periodic with respect to time. This article develops model identification and simulation...

Analysis of Changepoint Models

changepoint: An R Package for Changepoint Analysis

One of the key challenges in changepoint analysis is the ability to detect multiple changes within a given time series or sequence. The changepoint package has been developed to provide users with a choice of multiple changepoint search methods to use in conjunction with a given changepoint method and in particular provides an implementation of the recently proposed PELT algorithm. This article...

Forecasting with Periodic Autoregressive Time Series Models

This chapter is concerned with forecasting univariate seasonal time series data using periodic autoregressive models We show how one should account for unit roots and deterministic terms when generating out of sample forecasts We illus trate the models for various quarterly UK consumption series This is the rst version July of a chapter that is to be prepared for potential inclusion in the Comp...

Auxiliary Particle Filtering Based Multiple Changepoint Detection in Volatility Models

This paper provides a solution for the multiple changepoint detection problems in financial time series prediction without knowing the number and location of changepoints. The proposed approach is a Sequential Monte Carlo (SMC) method for estimating GARCH based volatility models which are subject to an unknown number of changepoints. Recent Auxiliary Particle Filtering (APF) techniques are used...