What question did this study set out to answer?

To develop a statistical framework for inferring whether an external event causes an abrupt change in the baseline level of a non-stationary time series.

June 1, 1965Biometrika

A change in level of a non-stationary time series

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Authors

GBGeorge E. P. BoxUniversity of Wisconsin System GTGeorge C. TiaoUniversity of Illinois Chicago

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Implication

Methodological analysis reveals an approach for detecting level shifts in non-stationary time series, highlighting applications in economic and industrial monitoring.

Key Points

To develop a statistical framework for inferring whether an external event causes an abrupt change in the baseline level of a non-stationary time series.
Modeled time-series observations recorded at equally spaced intervals around a known event time.
Formulated inferential techniques to assess shifts in series levels using examples from fiscal policy and chemical production.
Established an analytical procedure to distinguish true event-driven level shifts from underlying non-stationary drift.
Demonstrated qualitative applicability for evaluating policy interventions in economic indicators and supplier changes in industrial processes.

Cite This Study

Box et al. (1965) studied this question.

synapsesocial.com/papers/6a0f92f4b6f5ee04015fcfd6 https://doi.org/10.1093/biomet/52.1-2.181

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Implication

Methodological analysis reveals an approach for detecting level shifts in non-stationary time series, highlighting applications in economic and industrial monitoring.

A change in level of a non-stationary time series

Discussion

Member takes

Implication

Key Points

Cite This Study

A change in level of a non-stationary time series

Discussion

Member takes

Implication

Key Points

Cite This Study

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