Economics, Econometrics and Finance
4 years ago

New method detects subtle changes in time series data accurately.

The Annals of Statistics
Detecting gradual changes in locally stationary processes
Michael Vogt, Holger Dette

Paper Summary

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The article discusses a method to find when properties of time series data start to change gradually, rather than suddenly. The researchers developed a nonparametric approach to estimate this smooth change point in a variety of stochastic properties like mean and covariance. They showed that their new estimator works well in theory and in practical applications, such as analyzing financial data.