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