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Application of Block Sieve Bootstrap to Change-Point detection in time series

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dc.contributor.authorZaman, Saad
dc.date.accessioned2010-08-31T20:12:59Z
dc.date.available2010-08-31T20:12:59Z
dc.date.issued2010-08-31T20:12:59Z
dc.date.submitted2010-08-30
dc.description.abstractSince the introduction of CUSUM statistic by E.S. Page (1951), detection of change or a structural break in time series has gained significant interest as its applications span across various disciplines including economics, industrial applications, and environmental data sets. However, many of the early suggested statistics, such as CUSUM or MOSUM, lose their effectiveness when applied to time series data. Either the size or power of the test statistic gets distorted, especially for higher order autoregressive moving average processes. We use the test statistic from Gombay and Serban (2009) for detecting change in the mean of an autoregressive process and show how the application of sieve bootstrap to the time series data can improve the performance of our test to detect change. The effectiveness of the proposed method is illustrated by applying it to economic data sets.en
dc.identifier.urihttp://hdl.handle.net/10012/5456
dc.language.isoenen
dc.pendingfalseen
dc.publisherUniversity of Waterlooen
dc.subjectBootstrapen
dc.subjectTime Seriesen
dc.subjectSieve Bootstrapen
dc.subjectChange pointen
dc.subjectChange-pointen
dc.subjectAutoregressive moving averageen
dc.subjectstructural breaken
dc.subject.programStatisticsen
dc.titleApplication of Block Sieve Bootstrap to Change-Point detection in time seriesen
dc.typeMaster Thesisen
uws-etd.degreeMaster of Mathematicsen
uws-etd.degree.departmentStatistics and Actuarial Scienceen
uws.peerReviewStatusUnrevieweden
uws.scholarLevelGraduateen
uws.typeOfResourceTexten

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Statistics and Actuarial Science