Estimating the turning point location in shifted exponential model of time series

Camillo Cammarota

Journal of Applied Statistics, 2017, vol. 44, issue 7, 1269-1281

Abstract: We consider the distribution of the turning point location of time series modeled as the sum of deterministic trend plus random noise. If the variables are modeled by shifted exponentials, whose location parameters define the trend, we provide a formula for computing the distribution of the turning point location and consequently to estimate a confidence interval for the location. We test this formula in simulated data series having a trend with asymmetric minimum, investigating the coverage rate as a function of a bandwidth parameter. The method is applied to estimate the confidence interval of the minimum location of two types of real-time series: the RT intervals extracted from the electrocardiogram recorded during the exercise test and an economic indicator, the current account balance. We discuss the connection with stochastic ordering.

Date: 2017
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DOI: 10.1080/02664763.2016.1201797

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