A method for detection of abrupt changes in the financial market combining wavelet decomposition and correlation graphs

A composite statistical method for the d

A composite statistical method for the detection of multiple undocumented abrupt changes in the mean value within a time series

✍ M. Rienzner; C. Gandolfi 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 327 KB

## Abstract The time series of measurements of hydro‐meteorological variables often suffer from imperfections such as missing data, outliers and discontinuities in the mean values. The discontinuity in the mean can be the effect of: instrumental offsets and of their corrections, of changes in the m