Change Point Detection in Nonstationary Sub-Hourly Wind Time Series
非平稳亚小时风速时间序列的变点检测AI 解读 ↓
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AI 根据所提供的论文材料归类:摘要明确研究多变量时间序列的非平稳性与协方差结构变点。
非平稳亚小时风速时间序列的变点检测AI 解读 ↓
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In this paper, we present a change point detection method for detecting change points in multivariate nonstationary wind speed time series. The change point method identifies changes in the covariance structure and decomposes the nonstationary multivariate time series into stationary segments. We also present parametric and nonparametric simulation techniques to simulate new wind time series within each stationary segment. The proposed simulation methods retain statistical properties of the original time series and therefore, can be employed for simulation-based analysis of power systems planning and operations problems. We demonstrate the capabilities of the change point detection method through computational experiments conducted on wind speed time series at five-minute resolution. We also conduct experiments on the economic dispatch problem to illustrate the impact of nonstationarity in wind generation on conventional generation and location marginal prices.
SCAN:通过自适应非参数推断依次检测变点
Modern time series are often long, serially dependent, and non-stationary. Existing change-point methods either target specific changes or become computationally intensive when using nonparametric costs on long series. Many also require thresholds to be carefully calibrated under serial dependence. We introduce SCAN, an offline method for detecting multiple distributional change-points in long, serially dependent univariate time series. SCAN compares adjacent windows using…
协整系统中平滑结构变化的检验
This paper develops an econometric framework for analysing smooth structural change in cointegrated systems following a known intervention time. We consider a vector error-correction model in which the cointegration rank and the pre-intervention cointegrating structure are identified from a stable pre-intervention subsample. After the intervention, both the adjustment coefficients and the cointegrating vectors are allowed to evolve smoothly as functions of rescaled time,…
CHASM:时间依赖与变量间依赖的在线变点检测
Changepoint detection identifies times when the generative process of a time series changes, with applications in healthcare, cybersecurity, and finance. In multivariate settings, changes in cross-variable and temporal dependence are particularly challenging to detect, as they are often less pronounced than shifts in marginal statistics such as the mean or variance. Existing methods detect changes using reconstruction error, which provides only an indirect measure of…
大型线性时间序列模型中的最优结构突变检验
We develop a class of optimal tests for a structural break occurring at an unknown date in infinite and growing-order time series regression models, such as AR($\infty$), linear regression with increasingly many covariates, and nonparametric regression. Under an auxiliary i.i.d. Gaussian error assumption, we derive an average power optimal test, establishing a growing-dimensional analog of the exponential tests of Andrews and Ploberger (1994) to handle identification failure…
时间序列的在线广义矩估计
Online learning has gained popularity in recent years due to the urgent need to analyse large-scale streaming data, which can be collected in perpetuity and serially dependent. This motivates us to develop the online generalized method of moments (OGMM), an explicitly updated estimation and inference framework in the time series setting. The OGMM inherits many properties of offline GMM, such as its broad applicability to many problems in econometrics and statistics, natural…
利用 Conceptor 矩阵检测变点
Offline change point detection retrospectively locates change points in a time series. Many nonparametric methods that target i.i.d. mean and variance changes fail in the presence of nonlinear temporal dependence, and model based methods require a known, rigid structure. For the at most one change point problem, we propose use of a conceptor matrix to learn the characteristic dynamics of a baseline training window with arbitrary dependence structure. The associated echo…