Multiscale Change Point Detection for Univariate Time Series Data with Missing Value
This paper studies the autoregressive integrated moving average (ARIMA) state space model combined with Kalman smoothing to impute missing values in a univariate time series before detecting change points. We estimate a scale-dependent time-average variance constant that depends on the length of the data section and is robust to mean shifts under serial dependence. The consistency of the proposed estimator is shown under the assumption allowing heavy tailedness. Integrating the proposed estimator with the moving sum and wild binary segmentation procedures to determine the number and locations of change points is discussed. Furthermore, the performance of the proposed methods is evaluated through extensive simulation studies and applied to the Beijing multi-site air quality dataset to impute missing values and detect mean changes in the data.
Authors
- Ghada AlNemer (ORCID: https://orcid.org/0000-0002-2222-7973)
- Tariku Tesfaye Haile (ORCID: https://orcid.org/0000-0002-1237-8903)
- Boping Tian (ORCID: https://orcid.org/0000-0001-5267-6764)
- Fenglin Tian
Institutions
- Princess Nourah bint Abdulrahman University (SA)
- Harbin Institute of Technology (CN)
- Arba Minch University (ET)
Publication Details
- Journal
- Mathematics
- Published
- 2024-10-11
- DOI
- https://doi.org/10.3390/math12203189
- Citations
- 5
- Primary Topic
- Grey System Theory Applications
- Type
- article
- Field-Weighted Citation Impact
- 2.45
Funders
- Princess Nourah Bint Abdulrahman University