The aim of this paper is to conduct change point analysis of interval-valued time series employing a regression trees approach. In order to deal with such time series we propose to employ a suitable distance measure that takes into account the underlying structure of interval data. Simulation results pertaining to the behavior of the proposed approach as well as an empirical application on a daily sample of air pollutant are provided, that illustrate the practical usefulness of the proposed method.

Regime change analysis of interval-valued time series with an application to PM10

CAPPELLI, CARMELA;DI IORIO, FRANCESCA
2015

Abstract

The aim of this paper is to conduct change point analysis of interval-valued time series employing a regression trees approach. In order to deal with such time series we propose to employ a suitable distance measure that takes into account the underlying structure of interval data. Simulation results pertaining to the behavior of the proposed approach as well as an empirical application on a daily sample of air pollutant are provided, that illustrate the practical usefulness of the proposed method.
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Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/11588/611672
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