Some procedures based on Singular Spectral Analysis focus on detecting potential structural changes in a time series by comparing a single decomposition method applied to two trajectory matrices (base and test). We propose a new approach that compares two different decomposition methods, both using the NIPALS algorithm, applied to the same trajectory matrix of the time series. Examples are provided to illustrate this new structural change detection procedure. (a joint work with Alberto Silva) Some procedures based on Singular Spectral Analysis focus on detecting potential structural changes in a time series by comparing a single decomposition method applied to two trajectory matrices (base and test). We propose a new approach that compares two different decomposition methods, both using the NIPALS algorithm, applied to the same trajectory matrix of the time series. Examples are provided to illustrate this new structural change detection procedure.
12 Novembre 2024, ore 12:00
Adelaide Freitas (a joint work with Alberto Silva)
Department of Mathematics - University of Aveiro
CIDMA, Center for Research and Development in Mathematics and Applications, University of Aveiro - Portugal
In person: Room 34 (4th floor) building CU002 Scienze Statistiche
Webinar: https://uniroma1.zoom.us/j/86881977368?pwd=SWRFcVFjMDZTa0lXZk05TE1zNm5adz09
Passcode: 432940