Official websites use .gov
A .gov website belongs to an official government organization in the United States.
Secure .gov websites use HTTPS
A lock (
) or https:// means you’ve safely connected to the .gov website. Share sensitive information only on official, secure websites.
Topics
Data & Maps
Surveys & Programs
Resource Library
Statistical Modeling of Stochastic Level Shifts in Time Series
Statistical Modeling of Stochastic Level Shifts in Time Series
Abstract
Methods are developed for estimating trends in time series subject to level shifts. The approach is based on specifying stochastic models for breaks as part of the model structure, using heavy-tailed densities to allow for a positive probability of such a large change at any given time. Examining changes in trend movements, estimated from the dynamics of the dataset, provides more information than a yes/no criterion for making decisions on level shift events. Continuous-valued innovations in the trend are assessed using a statistical model; with the arrival of a data point that constitutes a break, timely warning is given with a smooth shift in the assessment. The empirical illustrations show how more robust trend estimates are obtained in practice.
Others in Series
Working Paper
Alternative Sets of Weights for Proposed X-11
The following tables contain the end weights computed by an "optimum" technique for the 4 seasonal factor moving averages proprosed for inclusion in X-11.
Working Paper
Toward X-13?
This paper will deal with two areas of development for the X-12-ARIMA seasonal adjustment package.
Working Paper
Comparing the Automatic ARIMA Model Selection Procedures
In this paper, we compare the two automatic modeling procedures.
Related Information
Page Last Revised - October 8, 2021
✕
Is this page helpful?
Yes
No
Yes
No✕
NO THANKS
255 characters maximum
255 characters maximum reached
255 characters maximum reached
✕
Thank you for your feedback.
Comments or suggestions?
Comments or suggestions?
