FORECAST ERROR REDUCTION BY PREPROCESSED HIGH-PERFORMANCE STRUCTURAL BREAK DETECTION

Dirk Pauli, Jens Feller, Bernhard Mauersberg, Ingo J. Timm

2011

Abstract

In this paper a new method for detecting multiple structural breaks, i.e. undesired changes of signal behavior, is presented and applied to real-world data. It will be shown how Chernoff Bounds can be used for highperformance hypothesis testing after preprocessing arbitrary time series to binary random variables using k-means-clustering. Theoretical results from part one of this paper have been applied to real-world time series from a pharmaceutical wholesaler and show striking improvement in terms of forecast error reduction, thereby greatly improving forecast quality. In order to test the effect of structural break detection on forecast quality, state of the art forecast algorithms have been applied to time series with and without previous application of structural break detection methods.

Paper Citation

in Harvard Style

Pauli D., Feller J., Mauersberg B. and J. Timm I. (2011). FORECAST ERROR REDUCTION BY PREPROCESSED HIGH-PERFORMANCE STRUCTURAL BREAK DETECTION . In Proceedings of the 8th International Conference on Informatics in Control, Automation and Robotics - Volume 1: ICINCO, ISBN 978-989-8425-74-4, pages 262-271. DOI: 10.5220/0003457202620271

in Bibtex Style

@conference{icinco11,
author={Dirk Pauli and Jens Feller and Bernhard Mauersberg and Ingo J. Timm},
title={FORECAST ERROR REDUCTION BY PREPROCESSED HIGH-PERFORMANCE STRUCTURAL BREAK DETECTION},
booktitle={Proceedings of the 8th International Conference on Informatics in Control, Automation and Robotics - Volume 1: ICINCO,},
year={2011},
pages={262-271},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0003457202620271},
isbn={978-989-8425-74-4},
}

in EndNote Style

TY - CONF
JO - Proceedings of the 8th International Conference on Informatics in Control, Automation and Robotics - Volume 1: ICINCO,
TI - FORECAST ERROR REDUCTION BY PREPROCESSED HIGH-PERFORMANCE STRUCTURAL BREAK DETECTION
SN - 978-989-8425-74-4
AU - Pauli D.
AU - Feller J.
AU - Mauersberg B.
AU - J. Timm I.
PY - 2011
SP - 262
EP - 271
DO - 10.5220/0003457202620271