A hybrid segmentation method for multivariate time series based on the dynamic factor model

作者：Sun, Zhubin; Liu, Xiaodong^*; Wang, Lizhu

来源：Stochastic Environmental Research and Risk Assessment, 2017, 31(6): 1291-1304.

DOI：10.1007/s00477-016-1323-6

• Change point
• Common factor
• Kalman filter
• Segmentation

There have been a slew of ready-made methods for the segmentation of univariate time series, but in contrast, there are fewer segmentation methods to satisfy the demand for multivariate time series analysis. It has become a common practice to develop more segmentation methods for multivariate time series by extending segmentation methods of univariate time series. But on the contrary, this paper tries to reduce multivariate time series to a univariate common factor sequence to adapt to the methods for segmentation of univariate time series. First, a common factor sequence is extracted from the multivariate time series as a composite index by a dynamic factor model. Then, three typical search methods including binary segmentation, segment neighborhoods and the pruned exact linear time are applied to the common factor sequence to detect the change points and the segmentation result is considered as the final segmentation result of multivariate time series. The case studies show the applicability and robustness of the proposed approach in hydrometeorological time series segmentation.

• 出版日期2017-8
• 单位大连理工大学; 沈阳师范大学