Regime Testimation in a Time Sequence
Robert H. Riffenburgh · Technometrics · 1971
Two years of irregularly spaced measurements of seawater temperature at 200 feet at a fixed North Pacific Ocean location are considered. The data are heteroscedastic in time and the average path jumps about erratically. We seek points of significant change in the data-generating process and wish to study their nature. The set of all properties characterizing a data-generating process is its regime. Simultaneous testing and estimation is testimation. We must testimate abrupt changes in the regime as a whole instead of property by property. A moving mean square of error values is posed as a statistic and its relation to x 2 and F derived. Methods of testimation and decomposition of the statistic into proportions due to each possible cause are obtained. The pattern of behavior of the statistic which identifies an outlier is considered. It is possible for two properties in the regime to change jointly such that one change obscures the other. Methods to detect and solve this problem are derived. The temperature data are analyzed by regime testimation methods.