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A change in level of a non-stationary time series
Abstract
Suppose that observations zsubt of a time series are available at equally spaced time intervals. The authors consider the problem of making inferences about a possible shift in level of the series associated with the occurrance of an event E at some particular time. For example, the observations might be of some economic indicator and one might suspect a change in level to occur in a particular interval because of a change in fiscal policy. Alternatively, zsubt could be the daily output of a chemical process and the event E might be a change in the supplier of raw material.
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Citations
Cited by
Intervention Analysis with Applications to Economic and Environmental Problems
Box, G. E. P., & Tiao, G. C. (1975) · Journal of the American Statistical Association · doi:10.1080/01621459.1975.10480264 · Cited by 2,383
Self-citationAssessing the impact of planned social change
Campbell, D. T. (1979) · Evaluation and Program Planning · doi:10.1016/0149-7189(79)90048-x · Cited by 957
“Glass, Willson, and Gottman (1972) have assembled the best approach, which build on the work of Box and Tiao (1965) and box and Jenkins (1970).”
BackgroundOutliers, level shifts, and variance changes in time series
Tsay, R. S. (1988) · Journal of Forecasting · doi:10.1002/for.3980070102 · Cited by 722
City-County Government and Promises of Economic Development: A Tale of Two Cities
Carr, J. B., Bae, S.-S., & Lu, W. (2006) · State and Local Government Review · doi:10.1177/0160323x0603800301 · Cited by 30
Metadata
- Authors
- Box, G. E. P., & Tiao, G. C.
- Venue
- Biometrika
- Publisher
- Oxford University Press (OUP)
- Published
- 1965-06-01
- Volume
- 52
- Issue
- 1-2
- Pages
- 181-192
- ISSN
- 0006-3444 (ISSN-L)
- 1464-3510
- OpenAlex
- W2035557811
- Cited by
- 242
- References
- 0
- FWCI
- 4.02
- Type
- journal article
- Language
- en
- Open access
- closed
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- CoChat. (2026). Citation check: A change in level of a non-stationary time series. https://app.cochat.ai/papers/10.1093/biomet/52.1-2.181
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- Box, G. E. P., & Tiao, G. C. (1965). A change in level of a non-stationary time series. Biometrika. https://doi.org/10.1093/biomet/52.1-2.181
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
