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Activity Number: 489
Type: Contributed
Date/Time: Wednesday, August 7, 2013 : 8:30 AM to 10:20 AM
Sponsor: Business and Economic Statistics Section
Abstract - #308562
Title: Temporal Aggregation Effects on a Mean-Change in Time Series
Author(s): Bu Hyoung Lee*+ and William W. S. Wei
Companies: Temple University and Temple University
Keywords: Temporal Aggregation ; Structural Mean-Change ; CUSUM Test ; Time Series

We investigate the effects of temporal aggregation on a structural mean-change of a time series. Even though the aggregation induces substantial information loss, it does not affect the test results of detecting a mean-change point, using the CUSUM test. The results show that the temporal aggregation does not weaken the impact of the structural change in mean.

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