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Consistent estimation of breakpoints in time series, with application to wavelet analysis of Citigroup returns

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dc.contributor.author Roberts, Leigh
dc.date.accessioned 2014-02-12T21:37:23Z
dc.date.accessioned 2022-07-06T22:20:33Z
dc.date.available 2014-02-12T21:37:23Z
dc.date.available 2022-07-06T22:20:33Z
dc.date.copyright 2014
dc.date.issued 2014
dc.identifier.uri https://ir.wgtn.ac.nz/handle/123456789/18815
dc.description.abstract Simple and intuitive non-parametric methods are provided for estimating variance change points for time series data. Only slight alterations to existing open-source computer code applying CUSUM methods for estimating breakpoints are required to apply our proposed techniques. Our approach, apparently new in this context, is first to define two artificial time series of double the length of the original by reflective continuations of the original. We then search for breakpoints forwards and backwards through each of these symmetric extensions to the original time series. A novel feature of this paper is that we are able to identify common breakpoints for multiple time series, even when they collect data at different frequencies. In particular, our methods facilitate the reconciliation of breakpoint outputs from the two standard wavelet filters. Simulation results in this paper indicate that our methods produce accurate results for time series exhibiting both long and short term correlation; and we illustrate by an application to Citigroup stock returns for the last thirty years. en_NZ
dc.format pdf en_NZ
dc.language.iso en_NZ
dc.publisher Te Herenga Waka—Victoria University of Wellington en_NZ
dc.relation.ispartofseries SEF Working paper ; 01/2014 en_NZ
dc.subject Breakpoint en_NZ
dc.subject Variance change point; en_NZ
dc.subject Model-free en_NZ
dc.subject Non-parametric en_NZ
dc.subject R programming suite en_NZ
dc.subject R package waveslim en_NZ
dc.subject Wavelets en_NZ
dc.subject DWT (discrete wavelet transform) en_NZ
dc.subject MODWT (maximal overlap discrete wavelet transform) en_NZ
dc.subject MRA (multiresolution analysis) en_NZ
dc.subject CUSUM (cumulative sum of squares) en_NZ
dc.subject Cluster analysis en_NZ
dc.subject Change point en_NZ
dc.title Consistent estimation of breakpoints in time series, with application to wavelet analysis of Citigroup returns en_NZ
dc.type Text en_NZ
vuwschema.contributor.unit School of Economics and Finance en_NZ
vuwschema.subject.anzsrcfor 140305 Time-Series Analysis en_NZ
vuwschema.type.vuw Working or Occasional Paper en_NZ
vuwschema.subject.anzsrcforV2 380205 Time-series analysis en_NZ
dc.rights.rightsholder www.victoria.ac.nz/sef/research/sef.working-papers en_NZ

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