Use of fuzzy statistical technique in change periods detection of nonlinear time series

Applied Mathematics and Computation

Volumn 99, Issue 2-3, 1999, Pages 241-254

  Wu, Berlin ^a   Chen, Mei Hui ^a  

^a NATIONAL CHENGCHI UNIVERSITY   (Taiwan)

Author keywords

Change periods; Fuzzy statistics; Nonlinear time series; Revised centered cumulative sums of squares (RCUSUM)

Indexed keywords

EID: 0039257103     PISSN: 00963003     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0096-3003(98)00011-3     Document Type: Article

References (17)

1. Balke, N.S., 1993. Detecting level shifts in time series. J. Business Econom. Statist. 11 (1), 81-92.
2. Barry, D., Hartigan, J.A., 1993. A Bayesian analysis for change point problems. J. Amer. Statist. Assoc. 88 (421), 309-319.
3. Brown, R., Dubin, J., Evans, J., 1975. Techniques for testing the constancy of regression relationships over time. J. Roy. Statist. Soc. Ser. B 37, 149-163.
4. Hinkey, D.V., 1971. Inference about the change point from cumulative sum test. Biometria 26, 279-284.
5. Hsu, D.A., 1977. Tests for variance shift at an unknown time point. Appl. Statist. 26, 279-284.
6. Hsu, D.A., 1979. Detecting shifts of parameter in gamma sequences, with applications to stock price and air traffic flow analysis. J. Amer. Statist. Assoc. 74, 31-40.
7. Hsu, D.A., 1982. A Bayesian robust detection of shift in the risk structure of stock market returns. J. Amer. Statist. Assoc. 77, 29-39.
8. Inclan, C., Tiao, G.C., 1994. Use of cumulative sums of squares for retrospective detection of changes of variance. J. Amer. Statist. Assoc. 89 (427), 913-924.
9. Kao, C., Ross, S.L., 1995. A CUSUM test in the linear regression model with serially correlated disturbances. Econometric Rev. 14 (3), 331-346.
10. Menzefricke, U., 1981. Presented a Bayesian analysis of a change at a unknown time point.
11. Page, E.S., 1955. A test for change in a parameter occurring at an unknown point. Biometricka 42, 523-527.
12. Saatri, T., Flores, B., Valdes, J., 1989. Detecting points of ahange in time series. Comput. Open Res. 16, 271-293.
13. Tsay, R.S., 1986. Nonlinearity tests for time series. Biometrics 73, 461-466.
14. Tsay, R.S., 1990. Testing and modeling threshold autoregressive processes. J. Amer. Statist. Assoc. 84, 231-240.
15. Wosley, K.J., 1986. Confidence regions and tests for a change-point in a sequence of exponential family random variables. Biometrika 73, 91-104.
16. Wu, B., Hwang, J., 1995. On fuzzy identification of nonlinear time series, Taiwan Economic Association, Annual Conference Proceedings, pp. 169-190.
17. Zadeh, L.A., 1965. Fuzzy sets, Inf. Control 8, 338-353.