Search results for "Change-point"

showing 4 items of 14 documents

The Decline in U.S. Output Growth Volatility: A Wavelet Analysis

2013

The aim of the paper is to determine whether or not the volatility of the growth rate of US output has changed in the period since late 1940's, and to attribute a precise date, if possible, to any such change. By applying the Discrete Wavelet Transform (DWT) to the annualized quarter-to quarter output growth series, we can test the homogeneity of the variance on a scale by scale basis without needing to fit a parametric model to the observed time series. A version of the Inclan and Tiao (1994) Normalised and Centered Cumulative Sum of Squares test, adapted to wavelet analysis, leads us to reject the null hypothesis of constant variance in the two levels of decomposition of the highest resol…

Volatility Growth Wavelet analysis Change-Point Detection NCCSS.Settore SECS-P/05 - Econometria
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Change-point estimation in piecewise constant regression models with random effects

2014

We propose an iterative algorithm to estimate change-points in general regression models. The algorithm avoids grid search to obtain maximum likelihood estimates, and thus it guarantees moderate computational time regardless of the sample size and the number of change-points to be estimated. Furthermore, it allows estimation in random effects models, where grid search is unfeasible. We present the proposed approach in practice by analyzing variations of lung functionality on a sample of transplant recipients.

change-points piecewise constant grid search algorithmSettore SECS-S/01 - Statistica
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Detector-based visual analysis of time-series data

2015

neural networkaikasarjatvisualisointimittausgraphical user interfaceknowledge discoverychange-point detectiondata miningneuroverkotvisual analyticsuser interactioncontextaikasarja-analyysimittaustekniikkavisual data explorationkäyttöliittymätihminen-konejärjestelmätenergiantuotantolaitoksetklusterianalyysitiedonlouhintaenergiantuotantobiovoimalatvisualizationclustering
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A new picking algorithm based on the variance piecewise constant models

2022

AbstractIn this paper, we propose a novel picking algorithm for the automatic P- and S-waves onset time determination. Our algorithm is based on the variance piecewise constant models of the earthquake waveforms. The effectiveness and robustness of our picking algorithm are tested both on synthetic seismograms and real data. We simulate seismic events with different magnitudes (between 2 and 5) recorded at different epicentral distances (between 10 and 250 km). For the application to real data, we analyse waveforms from the seismic sequence of L’Aquila (Italy), in 2009. The obtained results are compared with those obtained by the application of the classic STA/LTA picking algorithm. Althoug…

variance piecewise constant modelEnvironmental EngineeringEarthquake Early WarningArrival timesChange-pointEnvironmental ChemistrySettore SECS-S/01 - StatisticaSafety Risk Reliability and QualityPickingGeneral Environmental ScienceWater Science and TechnologyStochastic Environmental Research and Risk Assessment
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