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March 2010 An MDL approach to the climate segmentation problem
QiQi Lu, Robert Lund, Thomas C. M. Lee
Ann. Appl. Stat. 4(1): 299-319 (March 2010). DOI: 10.1214/09-AOAS289


This paper proposes an information theory approach to estimate the number of changepoints and their locations in a climatic time series. A model is introduced that has an unknown number of changepoints and allows for series autocorrelations, periodic dynamics, and a mean shift at each changepoint time. An objective function gauging the number of changepoints and their locations, based on a minimum description length (MDL) information criterion, is derived. A genetic algorithm is then developed to optimize the objective function. The methods are applied in the analysis of a century of monthly temperatures from Tuscaloosa, Alabama.


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QiQi Lu. Robert Lund. Thomas C. M. Lee. "An MDL approach to the climate segmentation problem." Ann. Appl. Stat. 4 (1) 299 - 319, March 2010.


Published: March 2010
First available in Project Euclid: 11 May 2010

zbMATH: 1189.62180
MathSciNet: MR2758173
Digital Object Identifier: 10.1214/09-AOAS289

Keywords: Changepoints , Genetic algorithm , level shifts , minimum description length , periodic autoregression , time series

Rights: Copyright © 2010 Institute of Mathematical Statistics


Vol.4 • No. 1 • March 2010
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