University of Twente Student Theses
Change Point Detection in the Autocorrelation Function of Stationary Time Series : A Comparative Analysis of Different Methods
Timon, Ronan (2025) Change Point Detection in the Autocorrelation Function of Stationary Time Series : A Comparative Analysis of Different Methods.
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| Abstract: | In this thesis the issue of detecting structural changes in the autocovariance function of a stationary time series is explored. In particular a modified CUSUM-test that detects changes is the main subject. All necessary background is introduced in as much detail as possible. Asymptotic properties that are known in the literature but not proven explicitly will be proven here. Simulations supplement this work to show the size and power of the test in comparison to two tests in the literature. Two Cusum-tests proposed by Berkes et al, and another based on ordinal-patterns by Betken et al. ARMA-models will be used to demonstrate the power, runtime, strengths and weaknesses of each test. |
| Item Type: | Essay (Master) |
| Faculty: | EEMCS: Electrical Engineering, Mathematics and Computer Science |
| Subject: | 31 mathematics |
| Programme: | Applied Mathematics MSc (60348) |
| Link to this item: | https://purl.utwente.nl/essays/106088 |
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