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Evolutionary Algorithms for the Detection of Structural Breaks in Time Series: extended abstract
Max-Planck-Institut für Informatik, Saarbrücken,.
Technical University of Denmark.
Linnaeus University, Faculty of Technology, Department of Mathematics.
Technical University of Denmark.
2013 (English)In: Proceedings of the 15th annual conference on Genetic and evolutionary computation, ACM Press, 2013, 119-120 p.Conference paper, Published paper (Refereed)
Abstract [en]

Detecting structural breaks is an essential task for the statistical analysis of time series, for example,  for fitting parametric models to it. In short, structural breaks  are points in time at which the behavior of the time series changes. Typically, no solid background knowledge of the time series under consideration is available. Therefore, a black-box optimization approach is our method of choice for detecting structural breaks. We describe a \ea framework which easily adapts to a large number of statistical settings. The experiments on artificial and real-world time series show that the algorithm detects break points with high precision and is computationally very efficient.

A reference implementation is availble at the following address:

http://www2.imm.dtu.dk/\~\/pafi/SBX/launch.html

Place, publisher, year, edition, pages
ACM Press, 2013. 119-120 p.
Keyword [en]
Evolutionary Algorithms, Statistics, Break points
National Category
Computational Mathematics
Identifiers
URN: urn:nbn:se:lnu:diva-28152DOI: 10.1145/2464576.2464635Scopus ID: 2-s2.0-84882359094ISBN: 978-1-4503-1964-5 (print)OAI: oai:DiVA.org:lnu-28152DiVA: diva2:640743
Conference
Genetic and evolutionary computation conference (GECCO)Amsterdam, Netherlands — July 06 - 10, 2013
Available from: 2013-08-14 Created: 2013-08-14 Last updated: 2014-04-23Bibliographically approved

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Hilbert, Astrid

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CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf