Scalable structural break detection
نویسندگان
چکیده
This paper deals with a statistical model fitting procedure for non-stationary time series. This procedure selects the parameters of a piecewise autoregressive model using the Minimum Description Length principle. The existing chromosome representation of the piecewise autoregressive model and its corresponding optimisation algorithm are improved. First, we show that our proposed chromosome representation better captures the intrinsic properties of the piecewise autoregressive model. Second, we apply an optimisation algorithm, the Covariance Matrix Adaptation Evolution Strategy, with which our setup converges faster to the optimal fit. Our proposed method achieves at least one order of magnitude performance improvement compared to the existing solution.
منابع مشابه
Investigation of the Impact of Structural Break on the Relationship between Inflation and Inflation Uncertainty in the Turkish Economy
This article examines the relationship between inflation and inflation uncertainty in the Turkish economy in this period 2004:01-2014:12. This relationship is explored in two ways: a) with the effect of structural breaks; b) without the effect of structural breaks. In fact, with regard to the main structural break have occurred over this period, we examine whether structural break has affected ...
متن کاملSUMSRM: A New Statistic for the Structural Break Detection in Time Series
Abstract. Structural break is one of the important concerns in non-stationary time series prediction. The cumulative sum of square (CUSUMS) statistic proposed by Brown et al (1975) has been developed as a general method for detecting a structural break. To better understand CUSUMS, this paper analyses the relationship among the bias of the break location estimation, pre-break data size and the ...
متن کاملIntelligent scalable image watermarking robust against progressive DWT-based compression using genetic algorithms
Image watermarking refers to the process of embedding an authentication message, called watermark, into the host image to uniquely identify the ownership. In this paper a novel, intelligent, scalable, robust wavelet-based watermarking approach is proposed. The proposed approach employs a genetic algorithm to find nearly optimal positions to insert watermark. The embedding positions coded as chr...
متن کاملCloudbreak: Accurate and Scalable Genomic Structural Variation Detection in the Cloud with MapReduce
The detection of genomic structural variations (SV) remains a difficult challenge in analyzing sequencing data, and the growing size and number of sequenced genomes have rendered SV detection a bona fide big data problem. MapReduce is a proven, scalable solution for distributed computing on huge data sets. We describe a conceptual framework for SV detection algorithms in MapReduce based on comp...
متن کاملHeterogeneous autoregressive model with structural break using nearest neighbor truncation volatility estimators for DAX
High frequency financial data modelling has become one of the important research areas in the field of financial econometrics. However, the possible structural break in volatile financial time series often trigger inconsistency issue in volatility estimation. In this study, we propose a structural break heavy-tailed heterogeneous autoregressive (HAR) volatility econometric model with the enhanc...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید
ثبت ناماگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید
ورودعنوان ژورنال:
- Appl. Soft Comput.
دوره 12 شماره
صفحات -
تاریخ انتشار 2012