Capturing the uncertainty about a sudden change in the properties of time series with confidence curves

The representation of uncertainty in results is an important aspect of statistical techniques in hydrology and climatology. Hypothesis tests and point estimates are not well suited for this purpose. Other statistical tools, such as confidence curves, are better suited to represent uncertainty. Therefore three parametric methods to construct...

Confidence curves for change points in hydrometeorological time series

In this paper, a method based on Approximate Empirical likelihood ratio and a Deviance function combined with bootstrapping (AED-BP) is proposed to construct a confidence curve for the location of a change point. The method is compared with a method based on parametric Profile Likelihood and a Deviance function combined with Monte Carlo...

A general analysis of change-point methods

The primary goal of this report is to provide a general overview of offline change-point literature as it is known today. Change-point methods are important statistical problems, where we are interested in determining whenever a certain data-set changes in structure. Furthermore, the term "off-line" is meant to indicate that the data itself is...

Comparative analysis of nonparametric change-point detectors commonly used in hydrology

Several commonly-used nonparametric change-point detection methods are analysed in terms of power, ability and accuracy of the estimated change-point location. The analysis is performed with synthetic data for different sample sizes, two types of change and different magnitudes of change. The methods studied are the Pettitt method, a method...

Blind segmentation of time-series: A two-level approach

Change-point detection is an indispensable tool for awide variety of applications which has been extensively studied in the literature over the years. However, the development of wireless devices and miniature sensors that allows continuous recording of data poses new challenges that cannot be adequately addressed by the vast majority of...