Abstract Details
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Activity Number:
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32
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Type:
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Contributed
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Date/Time:
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Sunday, August 3, 2014 : 2:00 PM to 3:50 PM
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Sponsor:
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Business and Economic Statistics Section
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Abstract #313574
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View Presentation
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Title:
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Temporal Aggregation Effects on a Structural Mean-Change of 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 ;
Mean Change ;
Likelihood Ratio Test ;
Cumulative Sum Test
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Abstract:
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In this article we investigate the effects of temporal aggregation on a mean change of time series, through the two statistical tests-the likelihood ratio (LR) test and the cumulative sum (CUSUM) test to detect the mean change. We propose a modified LR test statistic when aggregate data are used for testing. Also we show that the CUSUM test statistic is free from the temporal aggregation effect. The Monte Carlo simulations verify the theoretical results.
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Authors who are presenting talks have a * after their name.
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