A multivariate descriptor method for change-point detection in nonlinear time series

The purpose of this paper is to present a novel method that is applied to detect dynamic changes in nonlinear time series. The method combines a multivariate control chart that monitors the variation of three normalized descriptors - Hjorth's descriptors of activity, mobility and complexity - a...

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Bibliographic Details
Published in:Journal of applied statistics 2011-02, Vol.38 (2), p.327-342
Main Authors: Balestrassi, P. P., Paiva, A. P., de Souza, A. C. Zambroni, Turrioni, J. B., Popova, Elmira
Format: Article
Language:English
Subjects:
change point
Control charts
Energy consumption
Estimating techniques
Hjorth's descriptors
Hotelling control chart
Multivariate analysis
nonlinear time series
Studies
Time series
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Summary:The purpose of this paper is to present a novel method that is applied to detect dynamic changes in nonlinear time series. The method combines a multivariate control chart that monitors the variation of three normalized descriptors - Hjorth's descriptors of activity, mobility and complexity - and is applied to the change-point detection problem of nonlinear time series. The approach is estimated using six simulated nonlinear time series. In addition, a case study of six time series of short-term electricity load consumption was used to illustrate the power of the method.
ISSN:0266-4763
1360-0532
DOI:10.1080/02664760903406496