Estimation of linear trend onset in time series |
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| Authors: | Vafeiadis Thanasis Bora-Senta Efthimia Kugiumtzis Dimitris |
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| Affiliation: | 1. College of Mechanical and Electrical Engineering, Wenzhou University, Wenzhou 325 035, China;2. Rayat Bahra University, Mohali 140 104, India;3. Sant Longowal Institute of Engineering and Technology Longowal, 148 106, India;4. Centre for Precision Manufacturing, DMEM, University of Strathclyde, Glasgow, Northern Ireland G1 1XJ, United Kingdom;1. Jo?ef Stefan Institute, Department of Systems and Control, Jamova cesta 39, SI-1000 Ljubljana, Slovenia;7. Jo?ef Stefan International Postgraduate School, Jamova cesta 39, SI-1000 Ljubljana, Slovenia |
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| Abstract: | We propose a method to detect the onset of linear trend in a time series and estimate the change point T from the profile of a linear trend test statistic, computed on consecutive overlapping time windows along the time series. We compare our method to two standard methods for trend change detection and evaluate them with Monte Carlo simulations for different time series lengths, autocorrelation strengths, trend slopes and distribution of residuals. The proposed method turns out to estimate T better for small and correlated time series. The methods were also applied to global temperature records suggesting different turning points. |
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