Variance change point detection via artificial neural networks for data separation

In this article, it will be shown that a nonparametric and data-adaptive approach to the variance change point (VCP) detection problem is possible by formulating it as a pattern classification problem. Technical aspects of the VCP detector are discussed, which include its training strategy and selection of proper classification tool.

[1]  Hidemitsu Ogawa,et al.  Error correcting memorization learning for noisy training examples , 2001, Neural Networks.

[2]  Sangyeol Lee,et al.  The Cusum of Squares Test for Scale Changes in Infinite Order Moving Average Processes , 2001 .

[3]  I. B. MacNeill,et al.  The Effect of Serial Correlation on Tests for Parameter Change at Unknown Time , 1993 .

[4]  Christopher M. Bishop,et al.  Neural networks for pattern recognition , 1995 .

[5]  Charles X. Ling,et al.  Overfitting and generalization in learning discrete patterns , 1995, Neurocomputing.

[6]  A. Refenes.  Neural Networks in the Capital Markets , 1994 .

[7]  D. Picard.  Testing and estimating change-points in time series , 1985, Advances in Applied Probability.

[8]  Keinosuke Fukunaga,et al.  Introduction to statistical pattern recognition (2nd ed.) , 1990 .

[9]  Tae Yoon Kim,et al.  Artificial neural networks for non-stationary time series , 2004, Neurocomputing.

[10]  G. McLachlan.  Discriminant Analysis and Statistical Pattern Recognition , 1992 .

[11]  Keith D. C. Stoodley,et al.  Time Series Analysis: Theory and Practice I , 1982 .

[12]  Rolph E. Anderson,et al.  Multivariate Data Analysis with Readings , 1979 .

[13]  Richard A. Johnson,et al.  Sequential Procedures for Detecting Parameter Changes in a Time-Series Model , 1977 .

[14]  W. Krämer,et al.  Testing for structural change in dynamic models , 1988 .

[15]  Lutz Prechelt,et al.  Automatic early stopping using cross validation: quantifying the criteria , 1998, Neural Networks.

[16]  R. Engle.  Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation , 1982 .

[17]  Keinosuke Fukunaga,et al.  Introduction to Statistical Pattern Recognition , 1972 .

[18]  Tae Yoon Kim,et al.  Usefulness of artificial neural networks for early warning system of economic crisis , 2004, Expert Syst. Appl..