incorporate autocorrelation stucture in change point analysis

[juniperlsimonis]

Lund R, Wang XL, Lu Q, Reeves J, Gallagher C, Feng Y. 2007. Changepoint detection in periodic and autocorrelated time series. Journal of Climate 20: 5178–5190, DOI: 10.1175/JCLI4291.1

[juniperlsimonis]

@davharris and @emchristensen did you all look into incorporating autocorrelation in the change point component? in digging into the literature a bit more, it looks like this is a topic of discussion and work, as it's possible that autocorrelation can impact the determination of changepoints. of particular relevance is that if ac is strong and positive, but not included in the model, it can translate to change points being assigned to times that are just runs of autocorrelated residuals.

[davharris]

Nope. That’s a good idea though.

Dave

On Feb 9, 2018, at 4:39 PM, Juniper Simonis [email protected] wrote:

@davharris and @emchristensen did you all look into incorporating autocorrelation in the change point component? in digging into the literature a bit more, it looks like this is a topic of discussion and work, as it's possible that autocorrelation can impact the determination of changepoints. of particular relevance is that if ac is strong and positive, but not included in the model, it can translate to change points being assigned to times that are just runs of autocorrelated residuals.

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[juniperlsimonis]

roger, thanks for letting me know!