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首页> 外文期刊>Journal of applied statistics >A Bayesian model for multiple change point to extremes, with application to environmental and financial data
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A Bayesian model for multiple change point to extremes, with application to environmental and financial data

机译：多重变化指向极端的贝叶斯模型，应用于环境和财务数据

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摘要

Abrupt changes often occur for environmental and financial time series. Most often, these changes are due to human intervention. Change point analysis is a statistical tool used to analyze sudden changes in observations along the time series. In this paper, we propose a Bayesian model for extreme values for environmental and economic datasets that present a typical change point behavior. The model proposed in this paper addresses the situation in which more than one change point can occur in a time series. By analyzing maxima, the distribution of each regime is a generalized extreme value distribution. In this model, the change points are unknown and considered parameters to be estimated. Simulations of extremes with two change points showed that the proposed algorithm can recover the true values of the parameters, in addition to detecting the true change points in different configurations. Also, the number of change points was a problem to be considered, and the Bayesian estimation can correctly identify the correct number of change points for each application. Environmental and financial data were analyzed and results showed the importance of considering the change point in the data and revealed that this change of regime brought about an increase in the return levels, increasing the number of floods in cities around the rivers. Stock market levels showed the necessity of a model with three different regimes.
机译：环境和财务时间序列经常发生突然变化。通常，这些变化是由于人为干预造成的。变更点分析是一种统计工具，用于分析沿时间序列的观测值的突然变化。在本文中，我们为环境和经济数据集的极值提出了贝叶斯模型，该模型给出了典型的变化点行为。本文提出的模型解决了在一个时间序列中可能出现多个变化点的情况。通过分析最大值，每个方案的分布都是广义的极值分布。在此模型中，变化点是未知的，并且是要估计的参数。具有两个变化点的极端情况的仿真表明，该算法除了可以检测不同配置下的真实变化点之外，还可以恢复参数的真实值。同样，更改点的数量也是一个需要考虑的问题，贝叶斯估计可以正确识别每个应用程序的正确更改点的数量。对环境和财务数据进行了分析，结果表明了考虑数据变化点的重要性，并揭示了这种制度变化带来了收益水平的增加，增加了河流周围城市的洪水数量。股市水平表明了建立三种不同制度的模型的必要性。

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