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Authors: Dirk Pauli 1 ; Jens Feller 1 ; Bernhard Mauersberg 1 and Ingo J. Timm 2

Affiliations: 1 FCE Frankfurt Consulting Engineers GmbH, Germany ; 2 University of Trier, Germany

ISBN: 978-989-8425-74-4

Keyword(s): Change-point detection, Hypothesis testing, Chernoff bounds, Binomial distribution, Additive changes, Nonadditive changes, Multiple structural break detection.

Related Ontology Subjects/Areas/Topics: Adaptive Signal Processing and Control ; Business Analytics ; Change Detection ; Data Engineering ; Informatics in Control, Automation and Robotics ; Signal Processing, Sensors, Systems Modeling and Control

Abstract: In this paper a new method for detecting multiple structural breaks, i.e. undesired changes of signal behavior, is presented and applied to real-world data. It will be shown how Chernoff Bounds can be used for highperformance hypothesis testing after preprocessing arbitrary time series to binary random variables using k-means-clustering. Theoretical results from part one of this paper have been applied to real-world time series from a pharmaceutical wholesaler and show striking improvement in terms of forecast error reduction, thereby greatly improving forecast quality. In order to test the effect of structural break detection on forecast quality, state of the art forecast algorithms have been applied to time series with and without previous application of structural break detection methods.

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Paper citation in several formats:
Pauli, D.; Feller, J.; Mauersberg, B. and J. Timm, I. (2011). FORECAST ERROR REDUCTION BY PREPROCESSED HIGH-PERFORMANCE STRUCTURAL BREAK DETECTION.In Proceedings of the 8th International Conference on Informatics in Control, Automation and Robotics - Volume 2: ICINCO, ISBN 978-989-8425-74-4, pages 262-271. DOI: 10.5220/0003457202620271

@conference{icinco11,
author={Dirk Pauli. and Jens Feller. and Bernhard Mauersberg. and Ingo J. Timm.},
title={FORECAST ERROR REDUCTION BY PREPROCESSED HIGH-PERFORMANCE STRUCTURAL BREAK DETECTION},
booktitle={Proceedings of the 8th International Conference on Informatics in Control, Automation and Robotics - Volume 2: ICINCO,},
year={2011},
pages={262-271},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0003457202620271},
isbn={978-989-8425-74-4},
}

TY - CONF

JO - Proceedings of the 8th International Conference on Informatics in Control, Automation and Robotics - Volume 2: ICINCO,
TI - FORECAST ERROR REDUCTION BY PREPROCESSED HIGH-PERFORMANCE STRUCTURAL BREAK DETECTION
SN - 978-989-8425-74-4
AU - Pauli, D.
AU - Feller, J.
AU - Mauersberg, B.
AU - J. Timm, I.
PY - 2011
SP - 262
EP - 271
DO - 10.5220/0003457202620271

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