Electronic Journal of Statistics

SiZer for time series: A new approach to the analysis of trends

Vitaliana Rondonotti, J. S. Marron, and Cheolwoo Park

Full-text: Open access

Abstract

Smoothing methods and SiZer are a useful statistical tool for discovering statistically significant structure in data. Based on scale space ideas originally developed in the computer vision literature, SiZer (SIgnificant ZERo crossing of the derivatives) is a graphical device to assess which observed features are ‘really there’ and which are just spurious sampling artifacts.

In this paper, we develop SiZer like ideas in time series analysis to address the important issue of significance of trends. This is not a straightforward extension, since one data set does not contain the information needed to distinguish ‘trend’ from ‘dependence’. A new visualization is proposed, which shows the statistician the range of trade-offs that are available. Simulation and real data results illustrate the effectiveness of the method.

Article information

Source
Electron. J. Statist. Volume 1 (2007), 268-289.

Dates
First available in Project Euclid: 28 June 2007

Permanent link to this document
http://projecteuclid.org/euclid.ejs/1183017432

Digital Object Identifier
doi:10.1214/07-EJS006

Mathematical Reviews number (MathSciNet)
MR2336034

Zentralblatt MATH identifier
1135.62371

Subjects
Primary: 62G08: Nonparametric regression
Secondary: 62-09: Graphical methods

Keywords
Autocovariance function estimation Local linear fit Scale-space method Sizer Time series

Citation

Rondonotti, Vitaliana; Marron, J. S.; Park, Cheolwoo. SiZer for time series: A new approach to the analysis of trends. Electron. J. Statist. 1 (2007), 268--289. doi:10.1214/07-EJS006. http://projecteuclid.org/euclid.ejs/1183017432.


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