Publicação
Assessing the performance of change-point detection based on the SIC procedure for non Gaussian and correlated data - a simulation study
| Resumo: | A simulation study is conducted in order to assess the impact of autocorrelation and non-normality on change-point detection when it is performed by the Schwarz Information Criterion (SIC) approach. Change-point detection in environmental data is usually fulfilled in the presence of time correlation or non-Gaussian distribution. This work analyses a set of scenarios with the purpose of evaluating the SIC performance when the assumptions are not guaranteed. |
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| Autores principais: | Gonçalves, A. Manuela |
| Outros Autores: | Costa, Marco; Teixeira, Lara |
| Assunto: | Change-point detection Environmental time series Schwarz Information Criterion (SIC) Non Gaussian data Serial correlation Simulation study |
| Ano: | 2013 |
| País: | Portugal |
| Tipo de documento: | comunicação em conferência |
| Tipo de acesso: | acesso restrito |
| Instituição associada: | Universidade do Minho |
| Idioma: | inglês |
| Origem: | RepositóriUM - Universidade do Minho |
| Resumo: | A simulation study is conducted in order to assess the impact of autocorrelation and non-normality on change-point detection when it is performed by the Schwarz Information Criterion (SIC) approach. Change-point detection in environmental data is usually fulfilled in the presence of time correlation or non-Gaussian distribution. This work analyses a set of scenarios with the purpose of evaluating the SIC performance when the assumptions are not guaranteed. |
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