A method for locating gradual changes in time series.
A variation to the change-point problem is addressed. The classical problem involves locating abrupt changes in the mean value of a signal. In contrast, a generalisation to gradual changes with constant speed is considered, which frequently occurs in biomedical signal-processing tasks. Formulas are derived that are easy to adopt by application scientists. The estimation quality is investigated theoretically and using Monte Carlo simulations. Results show that the change-point estimates were close to their true values. In contrast, a systematic error of approximately half the change duration occurred when the gradual nature of the signal was neglected.
Hofer
Heiko
H
Institute of Mathematics and Computer Science, University of the Armed Forces, Munich, Germany. heiko.hofer@unibw.de
Staude
Gerhard
G
Wolf
Werner
W
D000465:Algorithms; D003198:Computer Simulation; D003627:Data Interpretation, Statistical; D008954:Models, Biological; D015233:Models, Statistical; D016011:Normal Distribution; D015203:Reproducibility of Results; D012680:Sensitivity and Specificity; D012815:Signal Processing, Computer-Assisted; D013997:Time Factors