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Activity Number:
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495
- Changepoints: Making an Impact
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Type:
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Topic Contributed
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Date/Time:
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Wednesday, July 31, 2019 : 10:30 AM to 12:20 PM
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Sponsor:
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Royal Statistical Society
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Abstract #302927
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Presentation
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Title:
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Influence Measures for Changepoint Segmentations
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Author(s):
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Ines Wilms* and Rebecca Killick and David Matteson
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Companies:
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Maastricht University and Lancaster University, UK and Cornell University
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Keywords:
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Abstract:
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Structural instabilities are present in a wide variety of economic and business time series. Many advances have been made to detect the number of such changepoints and their location. However, a traditional changepoint analysis does not allow one to measure the influence of data observations on the changepoint segmentation. As practitioners often need to assess the sensitivity of the changepoint analysis to the data used, we provide such influence measures and apply them to complex business data such as financial returns, telematics and consumer data.
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Authors who are presenting talks have a * after their name.
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