NEW METHOD FOR STRUCTURAL CHANGE DETECTION OF TIME SERIES AS AN OPTIMAL STOPPING PROBLEM

Hiromichi Kawano, Ken Nishimatsu, Tetsuo Hattori

2004

Abstract

In general, an appropriate prediction expression and/or model is constructed to fit a time series though, the model begins to unfit (or not to fit) the time series from some time point, especially in the field that relates to human activity and social phenomenon. In such case, it will be important not only to quickly detect the unfitting situation but also to rebuild the prediction model after the detection as soon as possible. In this paper, we formulate the structural change detection problem in time series as an optimal stopping problem, using the concept of DP (Dynamic Programming) with a cost function that is the sum of unfitting (or not fitting) loss and action cost to be taken after detection. And we propose a method for optimal solution and show the correctness by proving a theorem. Also we clarify the effectiveness by showing the numerical experimentation.

Paper Citation

in Harvard Style

Kawano H., Nishimatsu K. and Hattori T. (2004). NEW METHOD FOR STRUCTURAL CHANGE DETECTION OF TIME SERIES AS AN OPTIMAL STOPPING PROBLEM . In Proceedings of the First International Conference on Informatics in Control, Automation and Robotics - Volume 3: ICINCO, ISBN 972-8865-12-0, pages 24-31. DOI: 10.5220/0001147500240031

in Bibtex Style

@conference{icinco04,
author={Hiromichi Kawano and Ken Nishimatsu and Tetsuo Hattori},
title={NEW METHOD FOR STRUCTURAL CHANGE DETECTION OF TIME SERIES AS AN OPTIMAL STOPPING PROBLEM},
booktitle={Proceedings of the First International Conference on Informatics in Control, Automation and Robotics - Volume 3: ICINCO,},
year={2004},
pages={24-31},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0001147500240031},
isbn={972-8865-12-0},
}

in EndNote Style

TY - CONF
JO - Proceedings of the First International Conference on Informatics in Control, Automation and Robotics - Volume 3: ICINCO,
TI - NEW METHOD FOR STRUCTURAL CHANGE DETECTION OF TIME SERIES AS AN OPTIMAL STOPPING PROBLEM
SN - 972-8865-12-0
AU - Kawano H.
AU - Nishimatsu K.
AU - Hattori T.
PY - 2004
SP - 24
EP - 31
DO - 10.5220/0001147500240031