TIME-SERIES SEGMENTATION - A SLIDING WINDOW APPROACH

被引：50
|
作者：
CHU, CSJ
机构：
[1] Department of Economics, University of Southern California, Los Angeles
来源：
INFORMATION SCIENCES | 1995年 / 85卷 / 1-3期
关键词：
D O I：
10.1016/0020-0255(95)00021-G
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
The aim of this paper is to present two on-line, sliding window segmentation algorithms. Detection nonstationarity is based on parameter fluctuations and change point localization of the Akaike information criterion. Asymptotic properties of the proposed algorithms are analyzed. Specifically, the limiting distributions are derived and the asymptotic threshold values are tabulated for future reference. Finite sample simulations are performed to illustrate the usefulness of these algorithms.
引用
收藏
页码：147 / 173
页数：27
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