Structural break detection method based on the Adaptive Regression Splines technique
Author
Abstract
Suggested Citation
DOI: 10.1016/j.physa.2016.12.011
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- B. Tóth & F. Lillo & J. D. Farmer, 2010.
"Segmentation algorithm for non-stationary compound Poisson processes,"
The European Physical Journal B: Condensed Matter and Complex Systems, Springer;EDP Sciences, vol. 78(2), pages 235-243, November.
- Bence Toth & Fabrizio Lillo & J. Doyne Farmer, 2010. "Segmentation algorithm for non-stationary compound Poisson processes," Papers 1001.2549, arXiv.org, revised Feb 2011.
- Pavel Cizek & Wolfgang Karl Härdle & Rafal Weron, 2011. "Statistical Tools for Finance and Insurance (2nd edition)," HSC Books, Hugo Steinhaus Center, Wroclaw University of Technology, number hsbook1101, December.
- Joanna Janczura & Rafał Weron, 2013. "Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 97(3), pages 239-270, July.
- Joanna Janczura, 2014. "Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 79(1), pages 1-30, February.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Aleksandra Grzesiek & Radosław Zimroz & Paweł Śliwiński & Norbert Gomolla & Agnieszka Wyłomańska, 2021. "A Method for Structure Breaking Point Detection in Engine Oil Pressure Data," Energies, MDPI, vol. 14(17), pages 1-24, September.
- Sikora, Grzegorz & Wyłomańska, Agnieszka & Krapf, Diego, 2018. "Recurrence statistics for anomalous diffusion regime change detection," Computational Statistics & Data Analysis, Elsevier, vol. 128(C), pages 380-394.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Sikora, Grzegorz & Wyłomańska, Agnieszka & Krapf, Diego, 2018. "Recurrence statistics for anomalous diffusion regime change detection," Computational Statistics & Data Analysis, Elsevier, vol. 128(C), pages 380-394.
- Aleksandra Grzesiek & Radosław Zimroz & Paweł Śliwiński & Norbert Gomolla & Agnieszka Wyłomańska, 2021. "A Method for Structure Breaking Point Detection in Engine Oil Pressure Data," Energies, MDPI, vol. 14(17), pages 1-24, September.
- Moreno, Manuel & Novales, Alfonso & Platania, Federico, 2019.
"Long-term swings and seasonality in energy markets,"
European Journal of Operational Research, Elsevier, vol. 279(3), pages 1011-1023.
- Manuel Moreno & Alfonso Novales & Federico Platania, 2019. "Long-term swings and seasonality in energy markets," Documentos de Trabajo del ICAE 2019-29, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Weron, Rafał & Zator, Michał, 2015.
"A note on using the Hodrick–Prescott filter in electricity markets,"
Energy Economics, Elsevier, vol. 48(C), pages 1-6.
- Rafal Weron & Michal Zator, 2014. "A note on using the Hodrick-Prescott filter in electricity markets," HSC Research Reports HSC/14/04, Hugo Steinhaus Center, Wroclaw University of Technology.
- Royuela-del-Val, Javier & Simmross-Wattenberg, Federico & Alberola-López, Carlos, 2017. "libstable: Fast, Parallel, and High-Precision Computation of α-Stable Distributions in R, C/C++, and MATLAB," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 78(i01).
- Kucharczyk, Daniel & Wyłomańska, Agnieszka & Sikora, Grzegorz, 2018. "Variance change point detection for fractional Brownian motion based on the likelihood ratio test," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 439-450.
- Alexander Lipton, 2024. "Hydrodynamics of Markets:Hidden Links Between Physics and Finance," Papers 2403.09761, arXiv.org.
- Maddalena Cavicchioli, 2021. "OLS Estimation of Markov switching VAR models: asymptotics and application to energy use," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 105(3), pages 431-449, September.
- Weron, Rafał & Zator, Michał, 2014.
"Revisiting the relationship between spot and futures prices in the Nord Pool electricity market,"
Energy Economics, Elsevier, vol. 44(C), pages 178-190.
- Rafal Weron & Michal Zator, 2013. "Revisiting the relationship between spot and futures prices in the Nord Pool electricity market," HSC Research Reports HSC/13/08, Hugo Steinhaus Center, Wroclaw University of Technology.
- Pawel Maryniak & Stefan Trueck & Rafal Weron, 2016. "Carbon pricing, forward risk premiums and pass-through rates in Australian electricity futures markets," HSC Research Reports HSC/16/10, Hugo Steinhaus Center, Wroclaw University of Technology.
- Tsyganov, Aleksander & Baskakov, Valery & Yazykov, Andrey & Sheparnev, Nikolay & Yanenko, Evgeny & Grysenkova, Yulia, 2019. "The impact of the bonus-malus system on the insurance ratemaking in the system of compulsory insurance of the responsibility of transport owners in Russia," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 56, pages 123-141.
- Jonathan Donier & Julius Bonart, 2014. "A Million Metaorder Analysis of Market Impact on the Bitcoin," Papers 1412.4503, arXiv.org, revised Sep 2015.
- J. Martin van Zyl, 2018. "An Empirical Study of the Behaviour of the Sample Kurtosis in Samples from Symmetric Stable Distributions," Papers 1811.00476, arXiv.org, revised Nov 2018.
- B. Tóth & Z. Eisler & F. Lillo & J. Kockelkoren & J.-P. Bouchaud & J.D. Farmer, 2012.
"How does the market react to your order flow?,"
Quantitative Finance, Taylor & Francis Journals, vol. 12(7), pages 1015-1024, May.
- Bence Toth & Zoltan Eisler & Fabrizio Lillo & Julien Kockelkoren & Jean-Philippe Bouchaud & J. Doyne Farmer, 2011. "How does the market react to your order flow?," Papers 1104.0587, arXiv.org, revised May 2012.
- Omar El Euch & Mathieu Rosenbaum, 2016. "The characteristic function of rough Heston models," Papers 1609.02108, arXiv.org.
- Michael Kurz, 2018. "Closed-form approximations in derivatives pricing: The Kristensen-Mele approach," Papers 1804.08904, arXiv.org.
- Javed, Farrukh & Loperfido, Nicola & Mazur, Stepan, 2024.
"Edgeworth expansions for multivariate random sums,"
Econometrics and Statistics, Elsevier, vol. 31(C), pages 66-80.
- Javed, Farrukh & Loperfido, Nicola & Mazur, Stepan, 2020. "Edgeworth Expansions for Multivariate Random Sums," Working Papers 2020:9, Örebro University, School of Business.
- Nowotarski, Jakub & Weron, Rafał, 2016.
"On the importance of the long-term seasonal component in day-ahead electricity price forecasting,"
Energy Economics, Elsevier, vol. 57(C), pages 228-235.
- Jakub Nowotarski & Rafal Weron, 2016. "On the importance of the long-term seasonal component in day-ahead electricity price forecasting," HSC Research Reports HSC/16/05, Hugo Steinhaus Center, Wroclaw University of Technology.
- Zi‐Yi Guo, 2020. "Stochastic multifactor models in risk management of energy futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(12), pages 1918-1934, December.
- Kurucak, Abdurrahman & Shcherbakova, Anastasia, 2016. "Estimating the hedging value of an energy exchange in Turkey to a retail power consumer," Energy, Elsevier, vol. 101(C), pages 16-26.
More about this item
Keywords
Segmentation; Median; Statistical test; Structural break point detection;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:phsmap:v:471:y:2017:i:c:p:499-511. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.journals.elsevier.com/physica-a-statistical-mechpplications/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.