Trend, Growth Rate, and Change Point Analysis—A Data Driven Approach
Loading...
Date
2008
Authors
Journal Title
Journal ISSN
Volume Title
Publisher
Abstract
A data-driven technique is proposed to estimate the trend and relative growth rate
of time series data. The method is based on the local linear regression smoother
and the only assumption about the form of the trend and growth rate function is
that they are smooth functions of time. We also extended the method for handling
sudden shifts or changes in the trend or growth rate functions by adding dummy
variables for the jumps. Simulation studies are carried out to see the performance of
the proposed procedure. The method is applied to study the trend and growth rate
of wheat production in India from 1951–2005.
Description
Keywords
Change points, Growth analysis, Nonparametric regression, Trend analysis
Citation
Communications in Statistics—Simulation and Computation, 37: 498–506, 2008