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Methods of Regime Shift Detection

Methods of Regime Shift Detection. Sergei Rodionov University of Washington, Seattle, WA. Shifts in the Mean. Student’s t-test Bayesian analysis Mann–Whitney U-test Wilcoxon rank sum Pettitt test Mann-Kendall test Lepage test Standard normal homogeneity test.

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Methods of Regime Shift Detection

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  1. Methods of Regime Shift Detection Sergei Rodionov University of Washington, Seattle, WA

  2. Shifts in the Mean • Student’s t-test • Bayesian analysis • Mann–Whitney U-test • Wilcoxon rank sum • Pettitt test • Mann-Kendall test • Lepage test • Standard normal homogeneity test • Regression-based approach • CUSUM test • Oerlemans method • Signal-to-noise ratio • Intervention analysis • Markov chain Monte Carlo • Lanzante method

  3. Shifts in the Variance • Downton-Katz test

  4. Shifts in the Spectrum • Nikiforov method

  5. Shifts in the System • Principal component analysis • Average standard deviates • Fisher information • Vector autoregressive method

  6. Student’s t-test Shifts in: • Mean • Variance • Spectrum • System

  7. Bayesian analysis Shifts in: • Mean • Variance • Spectrum • System

  8. Mann–Whitney U-test Shifts in: • Mean • Variance • Spectrum • System

  9. Wilcoxon rank sum Shifts in: • Mean • Variance • Spectrum • System

  10. Pettitt test Shifts in: • Mean • Variance • Spectrum • System

  11. Mann-Kendall test Shifts in: • Mean • Variance • Spectrum • System

  12. Lepage test Shifts in: • Mean • Variance • Spectrum • System

  13. Standard normal homogeneity test Shifts in: • Mean • Variance • Spectrum • System

  14. Regression-based approach Shifts in: • Mean • Variance • Spectrum • System

  15. Cumulative deviation test Shifts in: • Mean • Variance • Spectrum • System

  16. Oerlemans method Shifts in: • Mean • Variance • Spectrum • System

  17. Signal-to-noise ratio Shifts in: • Mean • Variance • Spectrum • System

  18. Intervention analysis Shifts in: • Mean • Variance • Spectrum • System

  19. Markov chain Monte Carlo Shifts in: • Mean • Variance • Spectrum • System

  20. Lanzante method Shifts in: • Mean • Variance • Spectrum • System

  21. Downton-Katz test Shifts in: • Mean • Variance • Spectrum • System

  22. Nikiforov method Shifts in: • Mean • Variance • Spectrum • System

  23. Principal component analysis Shifts in: • Mean • Variance • Spectrum • System

  24. Average standard deviates Shifts in: • Mean • Variance • Spectrum • System

  25. Fisher information Shifts in: • Mean • Variance • Spectrum • System

  26. Vector auto­regressive method Shifts in: • Mean • Variance • Spectrum • System

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