论文标题

时间序列面板数据的非参数强大监视

Nonparametric robust monitoring of time series panel data

论文作者

Mathieu, Sophie, von Sachs, Rainer, Delouille, Véronique, Lefèvre, Laure, Ritter, Christian

论文摘要

在许多应用中,需要进行控制程序来检测一组串行相关过程中的潜在偏差。通常,这些过程被噪声损坏,并且没有有关该目的控制数据的先前信息可用于此目的。本文提出了一种一般的非参数监测方案,用于监督该面板,该小组具有时变的均值和差异。该方法基于由Block Bootstrap设计的控制图,该控制图不需要有关数据分布的参数假设。该过程是为了应对强烈的噪音,潜在的缺失值和控制内部系列而定制的,该过程通过面板中信息的智能开发来解决。我们的方法是通过支持向量机程序来完成的,以估计遇到的偏差的幅度和形式(例如逐步移动或功能漂移)。该方案虽然本质上是通用的,但能够处理一个重要的应用数据问题:在黑子数量观测值的一部分中,这是国际黑子数量的一部分,这是长期太阳能活动的世界参考。

In many applications, a control procedure is required to detect potential deviations in a panel of serially correlated processes. It is common that the processes are corrupted by noise and that no prior information about the in-control data are available for that purpose. This paper suggests a general nonparametric monitoring scheme for supervising such a panel with time-varying mean and variance. The method is based on a control chart designed by block bootstrap, which does not require parametric assumptions on the distribution of the data. The procedure is tailored to cope with strong noise, potentially missing values and absence of in-control series, which is tackled by an intelligent exploitation of the information in the panel. Our methodology is completed by support vector machine procedures to estimate magnitude and form of the encountered deviations (such as stepwise shifts or functional drifts). This scheme, though generic in nature, is able to treat an important applied data problem: the control of deviations in a subset of sunspot number observations which are part of the International Sunspot Number, a world reference for long-term solar activity.

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