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Structural break detection method based on the Adaptive Regression Splines technique

Daniel Kucharczyk, Agnieszka Wyłomańska and Radosław Zimroz

Physica A: Statistical Mechanics and its Applications, 2017, vol. 471, issue C, 499-511

Abstract: For many real data, long term observation consists of different processes that coexist or occur one after the other. Those processes very often exhibit different statistical properties and thus before the further analysis the observed data should be segmented. This problem one can find in different applications and therefore new segmentation techniques have been appeared in the literature during last years. In this paper we propose a new method of time series segmentation, i.e. extraction from the analysed vector of observations homogeneous parts with similar behaviour. This method is based on the absolute deviation about the median of the signal and is an extension of the previously proposed techniques also based on the simple statistics. In this paper we introduce the method of structural break point detection which is based on the Adaptive Regression Splines technique, one of the form of regression analysis. Moreover we propose also the statistical test which allows testing hypothesis of behaviour related to different regimes. First, the methodology we apply to the simulated signals with different distributions in order to show the effectiveness of the new technique. Next, in the application part we analyse the real data set that represents the vibration signal from a heavy duty crusher used in a mineral processing plant.

Keywords: Segmentation; Median; Statistical test; Structural break point detection (search for similar items in EconPapers)
Date: 2017
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