A study on estimating piecewise linear trend model using the simple moving average of differenced time series
Okyoung Na · Korean Journal of Applied Statistics · 2023
In a piecewise linear trend model, the change points coincide with the mean change points of the first differenced time series.Therefore, by detecting the mean change points of the first differenced time series, one can estimate the change points of the piecewise linear trend model.In this paper, based on this fact, a method is proposed for detecting change points of the piecewise linear trend model using the simple moving average of the first differenced time series rather than estimates of the slope or residuals.Our Monte Carlo simulation experiments show that the proposed method performs well in estimating the number of change points not only when the error terms in the piecewise linear trend model are independent but also when they are serially correlated.