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Activity Number: 495 - Changepoints: Making an Impact
Type: Topic Contributed
Date/Time: Wednesday, July 31, 2019 : 10:30 AM to 12:20 PM
Sponsor: Royal Statistical Society
Abstract #302927 Presentation
Title: Influence Measures for Changepoint Segmentations
Author(s): Ines Wilms* and Rebecca Killick and David Matteson
Companies: Maastricht University and Lancaster University, UK and Cornell University

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.

Authors who are presenting talks have a * after their name.

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