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34 – Statistics in Spatial and Environmental Epidemiology

Temporal Aggregation Effects on a Mean-Change in Time Series

Sponsor: Business and Economic Statistics Section
Keywords: Temporal Aggregation, Structural Mean-Change, CUSUM Test, Time Series

Bu Hyoung Lee

Temple University

William W. S. Wei

Temple University

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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