Detection performance of likelihood ratio test for change points based on bootstrap for AR 1 models

Date

2016-08-26

Author

Yazıcı, Ceyda
Yozgatlıgil, Ceylan
Batmaz, İnci

Metadata

Show full item record

Item Usage Stats

174
views

0
downloads

he detection of change-points in time series is an important issue especially in economics, finance, meteorology and energy. Change in mean, change in variance or any sudden increase or decrease in the series can cause breakpoints. In AR(1) models, the likelihood ratio test is conducted to test for a single breakpoint. However, if the sample size is small or the location of the breakpoint is close to the end or the beginning of the series, the detection performance becomes worse. In order to increase the correct detection percentage of the likelihood ratio test in these cases, a bootstrap method for dependent data is applied and its performance is investigated when the change is only in the mean under several breakpoint scenarios. The test is applied to simulated data and the results are compared with the results obtained from tests in the literature.

Subject Keywords

Bootstrap, Change points, Simulation, Time series

URI

http://cmstatistics.org/RegistrationsV2/COMPSTAT2016/viewSubmission.php?id=527&token=np263qr78sn50660043or043rr3p63qo
https://hdl.handle.net/11511/78839

Conference Name

The 22nd International Conference on Computational Statistics, ( 23 - 26 Ağustos 2016)

Collections

Department of Statistics, Conference / Seminar

Suggestions

OpenMETU
Core

Performance of ensemble forecasting tools for analysis Turkish consumer price index Aydemir, Petek; Yozgatlıgil, Ceylan; Department of Statistics (2018) Major challenge in time series analysis is to get reasonably accurate forecasts of the future data from the analysis of the previous records. Accurate forecasting of inflation has great importance in the market economies, the policymakers and the monetary system since the inflation rate determines the cost and standard of living. Also, it affects the decision on investments. In Turkey, the inflation rate is measured by the consumer price index (CPI). There exist many methods to predict the future values of ...
Analysis of the monetary stance of Turkey between 2011 and 2018 with a new monetary conditions index: the roles of government bond yields and the exchange rate Kaptan, Savaş; Gaygısız Lajunen, Esma; Department of Economics (2019) Measuring the monetary policy stance of central banks is a much-debated issue in the literature. The changing economic dynamics over the time and different structures of economies have made impossible to use only short term interest rates, monetary aggregates or money market rates for analyzing the monetary stance. Accordingly, comprehensive monetary conditions indexes have been discovered and some central banks have started to use them as an operational target. In line with these developments, the main aim...
Analysis of gas prices for Turkey from 2003-2011 Wilberforce, Kiribaki; Yozgatlıgil, Ceylan; Kalaylıoğlu Akyıldız, Zeynep Işıl; Department of Statistics (2012) This study aimed to construct a forecasting model for gas prices in Turkey using Univariate time series analysis. The best model was developed after assessing the forecasting performances for both Seasonal Autoregressive Integrated Moving Average (SARIMA) model and Exponential Smoothing (ES) model. Firstly, we fitted different combinations of both ARIMA and SARIMA models (from which the best model was chosen) by using the monthly oil prices from January 2003 to December 2011. The ES model was automatically ...
Stock mechanics: A general theory and method of energy conservation with applications on DJIA Tuncay, Çağlar (World Scientific Pub Co Pte Lt, 2006-11-01) A new method, based on the original theory of conservation of sum of kinetic and potential energy defined for prices is proposed and applied on the Dow Jones Industrials Average (DJIA). The general trends averaged over months or years gave a roughly conserved total energy, with three different potential energies, i.e., positive definite quadratic, negative definite quadratic and linear potential energy for exponential rises (and falls), sinusoidal oscillations and parabolic trajectories, respectively. Corre...
Multiresolution analysis of S&P500 time series KILIC, Deniz Kenan; Uğur, Ömür (2018-01-01) Time series analysis is an essential research area for those who are dealing with scientific and engineering problems. The main objective, in general, is to understand the underlying characteristics of selected time series by using the time as well as the frequency domain analysis. Then one can make a prediction for desired system to forecast ahead from the past observations. Time series modeling, frequency domain and some other descriptive statistical data analyses are the primary subjects of this study: i...

Citation Formats

C. Yazıcı, C. Yozgatlıgil, and İ. Batmaz, “Detection performance of likelihood ratio test for change points based on bootstrap for AR 1 models,” presented at the The 22nd International Conference on Computational Statistics, ( 23 - 26 Ağustos 2016), Oviedo, İspanya, 2016, Accessed: 00, 2021. [Online]. Available: http://cmstatistics.org/RegistrationsV2/COMPSTAT2016/viewSubmission.php?id=527&token=np263qr78sn50660043or043rr3p63qo.