Structural breaks estimation methods for time series data.

Kong, Cheuk Kwan.Thesis (M.Phil.)--Chinese University of Hong Kong, 2007.Includes bibliographical references (leaves 42-44).Abstracts in English and Chinese.Chapter 1 --- Introduction --- p.1Chapter 2 --- Modelling Piecewise AR model --- p.4Chapter 2.1 --- Background --- p.4Chapter 2.2 --- Introduction to Auto-FARM --- p.5Chapter 2.3 --- Minimum Description Length --- p.6Chapter 2.4 --- Genetic Algorithm --- p.9Chapter 2.5 --- Reproduction Rules --- p.10Chapter 3 --- Bayesian-SCAD Approach --- p.14Chapter 3.1 --- Estimation via Penalty Function --- p.15Chapter 3.2 --- Introduction to SCAD --- p.17Chapter 3.3 --- Local Quadratic Approximation of SCAD --- p.20Chapter 3.4 --- Bayesian Formulation and GA Implementation --- p.22Chapter 4 --- Simulation Study --- p.25Chapter 4.1 --- Piecewise AR Process from Davis et al. (2006) --- p.25Chapter 4.2 --- Piecewise Seasonal AR Process --- p.29Chapter 5 --- Real Data Analysis --- p.33Chapter 5.1 --- Description and Source of Data --- p.33Chapter 5.2 --- Model Fitting --- p.36Chapter 5.3 --- Prediction Results --- p.39Chapter 6 --- Conclusion --- p.40Bibliography --- p.4