Dear Joerg,
See 

http://www.brodgar.com/timeseries.htm

and especially:

http://www.brodgar.com/chronoexample.htm
http://www.brodgar.com/chronoexample2.htm

for methodology and examples of detecting breakpoints in multivariate time series.

Kind regards,

Alain Zuur

www.brodgar.com
www.highstat.com


---------------------------- 

Message: 36 
Date: Wed, 14 Apr 2004 19:05:32 +0200 
From: Joerg Schaber <Joerg.Schaber@uv.es> 
Subject: [R] trend turning points 
To: r-help <r-help@stat.math.ethz.ch> 
Message-ID: <407D6F5C.3060403@uv.es> 
Content-Type: text/plain; charset=us-ascii; format=flowed 

Hi, 

does anybody know of a nice test to detect trend turning points in time 
series? Possibly with reference? 
Thanks, 

joerg 



------------------------------ 

Message: 37 
Date: Wed, 14 Apr 2004 13:13:11 -0400 
From: "Liaw, Andy" <andy_liaw@merck.com> 
Subject: RE: [R] trend turning points 
To: "'Joerg Schaber'" <Joerg.Schaber@uv.es>, r-help 
<r-help@stat.math.ethz.ch> 
Message-ID: 
<3A822319EB35174CA3714066D590DCD504AF7BD0@usrymx25.merck.com> 
Content-Type: text/plain 

I don't know about time series data, but if the "errors" are independent 
(and preferably constant variance), wouldn't this amounts to estimating 
zeroes in the first derivative of the trend? I believe several packages for 
smoothing (e.g., KernSmooth and locfit) can estimate derivatives. J. S. 
Marron's SiZer actually tests for significance of the zeroes, but that has 
not been implemented in R, AFAIK. Marron's web site has Matlab code for it. 

Andy 

> From: Joerg Schaber 
> 
> Hi, 
> 
> does anybody know of a nice test to detect trend turning 
> points in time 
> series? Possibly with reference? 
> Thanks, 
> 
> joerg 
> 


---------------------
Dr Alain Zuur
Highland Statistics Ltd.
www.highstat.com
www.brodgar.com


