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A new approach for detecting gradual changes in non-stationary time series with seasonal effects
Journal of the Korean Statistical Society ( IF 0.6 ) Pub Date : 2020-09-24 , DOI: 10.1007/s42952-020-00086-1
Guebin Choi

This paper proposes a new method of detecting the gradual changes of time series when the changes in time series are mixed with seasonality. The key of the proposed method is to express the desired time-varying feature while removing the unwanted time-varying feature of seasonal effects through two-stage procedures. Asymptotic properties of the proposed methods are studied, and simulation results are presented. In addition, models with multiple changes have been studied. Furthermore, to demonstrate the usefulness of the proposed method, real data analysis with the number of Korean traveling to Japan is presented.



中文翻译:

检测具有季节效应的非平稳时间序列逐渐变化的新方法

本文提出了一种在时间序列变化与季节变化混合时检测时间序列逐渐变化的新方法。提出的方法的关键是要表达所需的时变特征,同时通过两步程序消除季节性影响的不必要的时变特征。研究了所提方法的渐近性质,并给出了仿真结果。另外,已经研究了具有多个变化的模型。此外,为了证明该方法的有效性,提出了以前往日本的韩国人数量进行的真实数据分析。

更新日期:2020-09-25
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