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

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

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

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

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

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

10100 - Mathematics

Projekt

—

Návaznosti

S - Specificky vyzkum na vysokych skolach

Rok uplatnění

2023

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Axioms

ISSN

2075-1680

e-ISSN

—

Svazek periodika

—

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

CH - Švýcarská konfederace

Počet stran výsledku

17

Strana od-do

—

Kód UT WoS článku

000938176800001

EID výsledku v databázi Scopus

2-s2.0-85148851210