A combination of Fuzzy techniques and Chow test to Detect Structural Breaks in Time Series

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61988987%3A17610%2F23%3AA2402I46" target="_blank" >RIV/61988987:17610/23:A2402I46 - isvavai.cz</a>
Result on the web
<a href="https://www.mdpi.com/2075-1680/12/2/103" target="_blank" >https://www.mdpi.com/2075-1680/12/2/103</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.3390/axioms12020103" target="_blank" >10.3390/axioms12020103</a>

Result language
angličtina
Original language name
A combination of Fuzzy techniques and Chow test to Detect Structural Breaks in Time Series
Original language description
In a series of papers, we suggested a non-statistical method for detection of structural breaks in a time series. It is based on the applications of special fuzzy modeling methods, namely Fuzzy transform (F-transform) and selected methods of Fuzzy Natural Logic (FNL). In this paper, we combine our method with the principles of the classical Chow test, which is a well-known statistical method for testing presence of a structural break. The idea is to construct a testing statistics similar to that of the Chow test which is formed from components of the first-degree F-transform. These components contain estimation of the average values of the tangents (slopes) of the time series over an imprecisely specified time interval. In this paper, we illustrate our method and its statistical test on a real time series and compare it with three classical statistical methods.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
10100 - Mathematics

Publication year
2023
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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