逐次確率比検定による時系列の構造変化点検出法

DOI Web Site Web Site 被引用文献1件 参考文献36件

書誌事項

タイトル別名
  • Structural Change Point Detection Method of Time Series Using Sequential Probability Ratio Test
  • 逐次確率比検定による時系列の構造変化点検出法--Chow Testとの早期検出性の比較
  • チクジ カクリツヒ ケンテイ ニ ヨル ジケイレツ ノ コウゾウ ヘンカテン ケンシュツホウ Chow Test トノ ソウキ ケンシュツセイ ノ ヒカク
  • —Chow Testとの早期検出性の比較—
  • —Comparison with Chow Test in the Ability of Early Detection—

この論文をさがす

抄録

The problem of time series can be classified into three types, in a practical sense. The first problem is how to generate a prediction model that adequately represents the characteristics of the early time series data. The second problem is how to quickly detect the structural change of the time series, where the estimated prediction model does not meet the real data any longer. The third problem is how to correct the time series model after the change detection. This paper focuses on the second problem and proposes a novel method for quick detection of the structural change point in time series. The proposed method is based on a sequential probability ratio test that has been mainly used in the field of quality control. This paper discusses the features of the method from numerical experimentation results. And also, this paper shows its effectiveness, in comparison with the well-known Chow Test.

収録刊行物

被引用文献 (1)*注記

もっと見る

参考文献 (36)*注記

もっと見る

キーワード

詳細情報 詳細情報について

問題の指摘

ページトップへ