Questions tagged [structural-change]

Change in the structure of a data-generating process, e.g., level shifts in a time series.

Structural change usually refers to data. The most common form is a level shift, but changes in slope or variance are also often seen.

The challenge includes:

  • Detecting historical structural change (see, e.g., the strucchange package for R and references therein for an introduction)
  • Treating historical structural change (e.g., using dummy variables)
  • when the next structural change will occur, and of what magnitude
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Detecting changes in time series (R example)

I would like to detect changes in time series data, which usually has the same shape. So far I've worked with the changepoint package for R and the cpt.mean(), cpt.var() and cpt.meanvar() functions. cpt.mean() with the PELT method works well when…
mlee
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How to detect and quantify a structural break in time-series (R)

Background So first some background to gauge the level of understanding I might have. Currently completing MSc thesis, statistics has been a negligible part of this although I do have a basic understanding. My current question makes me doubt what I…
Bas
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How to test if the process that generated a time-series has changed over time

Problem I have time-series data generated by a machine over two disjoint periods of time - roughly one month in 2016 and another month in 2018. It is hypothesized by domain experts that at each time step $t$, an observed variable $Y^t$ can be…
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How to detect structural change in a timeseries

Is there a specific method to detect change points(structural breaks) in a timeseries?(stocks prices) Thanks
Dail
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Estimate number of breakpoints in regression

I've been playing around with the package strucchange (and to some extent segmented) in R. I'm trying to determine whether there are changes in slope in a linear regression and more importantly, how many breakpoints. A toy dataset: x <- c(0, 5, 10,…
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Chow Test: Do you need stationarity to model a time-series for identifying structural breaks?

What am I trying to achieve? I am trying to test whether there is a structural break in a time-series of proportions at a known break date (21 Dec 2019) . Below is a plot of the original time-series (top panel) and its STL decomposition:. What…
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strucchange package on ARIMA model

Is there a way to use strucchange package in R on ARIMA models? I haven't been able to find any. Thanks a lot.
user43790
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Can time series data have both unit root and structural break?

My data rejects unit root, but shows structural break, is this possible?
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Reference for implementing generalized likelihood ratio test to determine online whether time-series mean has shifted

What is a reference that describes the "generalized likelihood ratio" test to determine online (i.e., meaning that we add an observation, then check, then add an observation, then check) whether the mean of a time-series has shifted? I need…
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Can I modify the Chow Statistic for use with ARIMAx models?

I'm trying to come up with a test for parameter constancy that's general enough to use for both OLS models and ARIMAx models. In all cases, we have non-stochastic exogenous variables. Here's the chow prediction interval statistic for OLS with $k$…
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Strucchange R package: correcting heteroskedasticity and autocorrelation

I’ve got a question concerning the R package strucchange that I use for testing and dating structural breaks in my PhD thesis. To be specific, I use the generalized fluctuation test framework with CUSUM/MOSUM and in particular Moving Estimates (ME)…
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required: good and straightforward method to detect change points in dependent univariate time series using r

I know that there are many related threads, packages and papers. Currently I`m reading through many of them. However, I don't plan to dig too deeply into this topic. I need a sound method that works with strongly dependent univariate time series (in…
Joz
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Identifying structural breaks in regression with Chow test

I have some problems in using (and finding) the Chow test for structural breaks in a regression analysis using R. I want to find out if there are some structural changes including another variable (represents 3 spatial subregions). Namely, is the…
user3814
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How to test stability/variability of statistic over time, using R

I have a long time series data (running several years). I have split the data into several series, each of 1 month duration. I then perform some custom calculations on each of the 'shortened' time series and collate some robust summary stats (mode,…
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Are there ML algorithms for data whose probability distribution changes over time?

It seems ML algorithms are specialized for cases in which the population distribution is fixed. Cross-validation also wouldn't work well if the distribution would change over time. However, it is not uncommon to encounter stochastic processes whose…
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