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.
- 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.
- Pavel Cizek & Wolfgang Karl Härdle & Rafal Weron, 2011. "Statistical Tools for Finance and Insurance (2nd edition)," HSC Books, Hugo Steinhaus Center, Wroclaw University of Science and Technology, number hsbook1101, December.
- 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.
- Wesselhöfft, Niels & Härdle, Wolfgang Karl, 2019. "Constrained Kelly portfolios under alpha-stable laws," IRTG 1792 Discussion Papers 2019-004, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- 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 Science and Technology.
- Michele Tumminello & Fabrizio Lillo & Jyrki Piilo & Rosario N. Mantegna, 2011. "Identification of clusters of investors from their real trading activity in a financial market," Papers 1107.3942, arXiv.org.
- Ogwang, Tomson, 2013. "Is the wealth of the world’s billionaires Paretian?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(4), pages 757-762.
- 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.
- 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).
- Claudio Fontana & Alessandro Gnoatto & Guillaume Szulda, 2021.
"CBI-time-changed Lévy processes for multi-currency modeling,"
Working Papers
14/2021, University of Verona, Department of Economics.
- Claudio Fontana & Alessandro Gnoatto & Guillaume Szulda, 2021. "CBI-time-changed L\'evy processes for multi-currency modeling," Papers 2112.02440, arXiv.org, revised Jul 2022.
- 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.
- Cheong, Siew Ann & Fornia, Robert Paulo & Lee, Gladys Hui Ting & Kok, Jun Liang & Yim, Woei Shyr & Xu, Danny Yuan & Zhang, Yiting, 2011. "The Japanese economy in crises: A time series segmentation study," Economics Discussion Papers 2011-24, Kiel Institute for the World Economy (IfW Kiel).
- 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 Science and Technology.
- Antonio Díaz & Gonzalo García-Donato & Andrés Mora-Valencia, 2017. "Risk quantification in turmoil markets," Risk Management, Palgrave Macmillan, vol. 19(3), pages 202-224, August.
- Weron, Rafał, 2014.
"Electricity price forecasting: A review of the state-of-the-art with a look into the future,"
International Journal of Forecasting, Elsevier, vol. 30(4), pages 1030-1081.
- Rafal Weron, 2014. "Electricity price forecasting: A review of the state-of-the-art with a look into the future," HSC Research Reports HSC/14/07, Hugo Steinhaus Center, Wroclaw University of Science and Technology.
- Niels Wesselhöfft & Wolfgang K. Härdle, 2020. "Risk-Constrained Kelly Portfolios Under Alpha-Stable Laws," Computational Economics, Springer;Society for Computational Economics, vol. 55(3), pages 801-826, March.
- repec:hum:wpaper:sfb649dp2015-047 is not listed on IDEAS
- 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.
- 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 Science and Technology.
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.