[R] time series and regions of change
Sean Davis
sdavis2 at mail.nih.gov
Fri Jul 22 20:46:31 CEST 2005
Preface: this is a statistical question more than an R question.
I have a vector of numbers (assume a regular time series). Within this
time series, I have a set of regions of interest (all of different
lengths) that I want to compare against a "baseline" (which is known).
There is some autocorrelation involved. I would like to determine the
"significance" of the regions as judged by their length and relative
height from the baseline. I could do a simple t-test or something like
that, but this seems to be too sensitive (probably due to dependency
between adjacent observations). I have thought about Hidden Markov
Models, but I don't know the number of states. Any other ideas?
Thanks,
Sean
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