COST ES1206 Sub-Working Group "Data Homogenisation": 1st Workshop - Brussels, Belgium

Robust, non-parametric techniques for the identification of change-points in the mean

26 Apr 2016, 15:25

20m

Nadir Room (Royal Observatory of Belgium (ROB))

Oral Presentation Technical Session on Homogenization Algorithms Technical Session on Homogenization Algorithms

Speaker

Dr Roeland Van Malderen (Royal Meteorological Institute of Belgium)

Description

We present three different tests, based on non-parametric techniques, for the objective identification of discontinuities in the mean (or median) of time series. These change-point tests are able to identify multiple discontinuities and requires no 'metadata' or comparison with neighbouring stations or reference data. These tests are based on (the sum of) the ranks of the values in the sequence. We chose to use the Petitt-Mann-Whitney statistic, which is equivalent to the Wilcoxon rank-sum statistic, but gives a clear procedure for determining critical values. But, for comparison, we also discuss the more commonly used Wilcoxon rank-sum test and the cumulative sum test to detect change points in the mean in a time series.