Drift vs Shift: Decoupling Trends and Changepoint Analysis

IF 2.3 3区工程技术 Q1 STATISTICS & PROBABILITY

Technometrics Pub Date : 2024-06-11 DOI:10.1080/00401706.2024.2365730

Haoxuan Wu, Toryn L. J. Schafer, Sean Ryan, David S. Matteson

引用次数: 0

Abstract

We introduce a new approach for decoupling trends (drift) and changepoints (shifts) in time series. Our locally adaptive model-based approach for robustly decoupling combines Bayesian trend filteri...

查看原文本刊更多论文

漂移与转移：脱钩趋势和变化点分析

我们介绍了一种将时间序列中的趋势（漂移）和变化点（移动）去耦合的新方法。我们基于模型的局部自适应稳健解耦方法结合了贝叶斯趋势滤波和时间序列趋势滤波。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Technometrics 管理科学-统计学与概率论

CiteScore

4.50

自引率

16.00%

发文量

审稿时长

>12 weeks

期刊介绍： Technometrics is a Journal of Statistics for the Physical, Chemical, and Engineering Sciences, and is published Quarterly by the American Society for Quality and the American Statistical Association.Since its inception in 1959, the mission of Technometrics has been to contribute to the development and use of statistical methods in the physical, chemical, and engineering sciences.