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I have a time-series of diurnal temperature range (DTR), 1961 - 2013 from a single weather station. Visually, the first part of the TS seems to have a downward trend, so I used the package segmented to verify, and specifying 4 break points the downward trend is confirmed.

A downward trend would be significant for my research, but I want to avoid confirmation bias. Could the trend be an artefact of the strong seasonality of the TS?

Using changepoints to search for step changes of mean value confirms the segmented regression findings, but after attempting to deseasonalize the series by differencing it with lag = 371 days (the maximum ACF value), the trend is completely different.

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What I want to ask is: Is it correct to apply segmented regression (and/or changepoints detection) to the raw time-series, or does it need to be pre-processed somehow first?

Fabio Capezzuoli
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  • changepoint detection needs to be done in concert with pulse detection , time trend detection , seasonal pulse detection , local time trends AND of course SARIMA detection. – IrishStat May 16 '19 at 22:26
  • I am positively not trying to predict the future of this time-series, and I am only concerned with the seasonal structure only insofar it impacts what I am actually after: the local time-trends, and in second place the global time-trend. I'd like to minimize the workload and focus on my targets. – Fabio Capezzuoli May 17 '19 at 03:22
  • Whether or not you are trying to predict or to characterize , the same advice holds. One needs to segment signal and noise of the time series in order to clearly see the intrinsic patterns. – IrishStat May 17 '19 at 07:34
  • Does `changepoints` account for serial correlation and seasonality? If not, you cannot trust its results--the approach may be right but the software could be wrong. I cannot find documentation of any `changepoints` function in the `segmented` package. – whuber May 17 '19 at 19:08
  • it does not ... – IrishStat May 17 '19 at 20:08
  • @whuber, `changepoints` is a different package. – Fabio Capezzuoli May 18 '19 at 00:56

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your graph doesn't suggest a downwards trend , it suggests (slightly ) 1 or more level shifts. A level shift is not a trend but a change in intercept... The program you are using only tests for level shifts. It appears to me that your sample size is soooo large it might be falsely suggesting level shifts.

The only way to resolve this is to 1) adjust pulse anomalies ; 2) identify any persistant sarima structure ; AND then 3) test for time trends and/or step/level shifts as laid out by Intervention Analysis Coding in R TSA Package and Time series trend

IrishStat
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