Time Series Analysis, Forecasting and Control
Time Series Analysis, Forecasting and Control
Some methods to evaluate the performance of Page's test as used todetect transient signals
IEEE Transactions on Signal Processing
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It is important to detect a structural change in a time series quickly as a trigger to remodeling the forecasting model. The well-known Chow test has been used as the standard method for detecting change, especially in economics. However, we have proposed the application of the sequential probability ratio test (SPRT) for detecting the change in single-regression modeled time-series data. In this article, we show experimental results using SPRT and the Chow test when applied to time-series data that are based on multiple regression models. We also clarify the effectiveness of SPRT compared with the Chow test in its ability to detect change early and correctly, and its computational complexity. Moreover, we extend the definition of the point at which structural change is detected with the SPRT method, and show an improvement in the accuracy of change detection.