Hi all,

I have a time series of historical SP500 returns.
How do I split it into a few non-overlapping blocks(regimes) in time in an
automated fashion?
For example, given a prespecified number N which is the number of
blocks/regimes, lets say 3.
And given 5 year history of SP500 time series and returns.
Manually, the period before Sept. 2008 is one regime. The period in-between
Sept. 2008 and arguably May 2010 is the 2nd regime.
Then the third regime is from May 2010 until today.
So then we have three blocks/regimes splitted.
Is there a way to split automatically?
I have been thinking about using clustering algorithm on the returns.
However, what is needed is a constrained version of the clustering
algorithm, i.e. the 3 big blocks/regimes need to be contiguous within each
block/regime itself...
I am looking for a way to do this in R...
Any thoughts are highly appreciated!
Thanks a lot!

FYI: I have asked a similar question before on this list but somehow I felt
it's probably better to renew the question with my newer and more concrete
examples. Also I've listed my question here so the answers to my question
could be reference for fellow statisticians in the future...
http://stats.stackexchange.com/questions/23817/splitting-time-series-data-into-blocks-regimes

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