Search results for "Change-points"
showing 6 items of 6 documents
Evaluating the performance of a new picking algorithm based on the variance piecewise constant models
2021
In this paper, a new picking algorithm for the automatic seismogram onset time determination is tested on a dataset of simulated waveforms. We aim at capturing the variations in the performance due to some characteristics of both the seismic event and its detection, which in turn affect some characteristics of the waveforms. We therefore simulate seismic events with different magnitude, and assumed to be detected with different distances from the nearest seismic station. Our tests permit to highlight the scenarios most suitable for our algorithm.
Is fiscal fatigue a threat to consolidation programmes?
2015
Building on a narrative approach to identify episodes of fiscal consolidation, data for a group of 17 industrial countries over the period 1978-2009 and continuous-time duration models, we find evidence suggesting that the likelihood of a fiscal consolidation ending increases over time, but only for programs that last less than six years. Additionally, fiscal consolidations tend to last longer in non-European than in European countries. Our results emphasize that chronic fiscal imbalances might lead to a vicious austerity cycle, while discipline in the behaviour of fiscal authorities is a means of achieving credible and shorter adjustment measures. Therefore, fiscal fatigue is likely to com…
A fast and efficient picking algorithm for earthquake early warning application based on the variance piecewise constant models
2020
An earthquake warning system, or earthquake early warning system, is a system of accelerometers, seismometers, communication, computers, and alarms that is devised for notifying adjoining regions of a substantial earthquake while it is in progress. This is not the same as earthquake prediction, which is currently incapable of producing decisive event warnings. The implementation of efficient and computationally simple picking algorithm is necessary for this purpose, as well as automatic picking of seismic phases for seismic surveillance and routine earthquake location for fast hypocenter determination. In this paper a method for picking based on the detection of signals changes in variance …
Booms, Busts and normal times in the housing market
2015
We assess the existence of duration dependence in the likelihood of an end in housing booms, busts, and normal times. Using data for 20 industrial countries and a continuous-time Weibull duration model, we find evidence of positive duration dependence suggesting that housing market cycles have become longer over the last decades. Then, we extend the baseline Weibull model and allow for the presence of a change-point in the duration dependence parameter.We show that positive duration dependence is present in booms and busts that last less than 26 quarters, but that does not seem to be the case for longer phases of the housing market cycle. For normal times, no evidence of change-points is fo…
Change-points detection for variance piecewise constant models
2011
A new approach based on the fit of a generalized linear regression model is introduced for detecting change-points in the variance of heteroscedastic Gaussian variables, with piecewise constant variance function. This approach overcome some limitations of both exact and approximate well-known methods that are based on successive application of search and tend to overestimate the real number of changes in the variance of the series. The proposed method just requires the computation of a gamma GLM with log-link, resulting in a very efficient algorithm even with large sample size and many change points to be estimated.
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.