References
- Angelus , A. 2001 . Electricity price forecasting in deregulated markets . Electr. J. , 4 : 32 – 41 .
- Basseville , M. and Nikiforov , I. 2000 . Detection of Abrupt Changes: Theory and Application , New Jersey : Prentice-Hall .
- Box , G. E.P. and Jenkins , G. M. 1976 . Time Series Analysis: Forecasting and Control , Revised , San Francisco, CA : Holden-Day .
- Burrell , A. and Papantoni , T. Sequential algorithms for detecting changes in acting stochastic processes and on-line learning of their operational parameters . Proceedings of the 15th International Conference on Pattern Recognition . Vol. 2 , pp. 656 – 659 . Barcelona, , Spain
- Castanie , F. and Denjean , F. Mean value jump detection using wavelet decomposition . Proceedings of IEEE-SP International Symposium on Time-Frequency and Time-Scale Analysis . Victoria, Canada. pp. 181 – 184 .
- Chen , R. and Tsay , R. S. 1993 . Functional-coefficient autoregressive models . J. Amer. Statist. Assoc. , 88 : 298 – 308 .
- Cho , H. and Fryzlewicz , P. Multiscale breakpoint detection in piecewise stationary AR models . Proceedings of IASC 2008 . Yokohama, Japan.
- de Gooijer , J. G. 1998 . On threshold moving-average models . J. Time Ser. Anal. , 19 : 1 – 18 .
- Granger , C. W.J. and Anderson , A. P. 1978 . An Introduction to Bilinear Time Series Models , Göttingen : Vandenhoeck & Ruprecht .
- Granger , C. W.J. and Terasvirta , T. 1993 . Modeling Nonlinear Economic Relationship , New York : Oxford University Press .
- Hamilton , J. D. 1989 . A new approach to the economic analysis of nonstationary time series and the business cycle . Econometrica , 57 : 357 – 384 .
- Hjorth , B. 1970 . EEG analysis based on time domain properties . Electroencephalogr. Clin. Neurophysiol. , 29 : 2 – 10 .
- Inclan , C. 1993 . Detection of multiple changes of variance using posterior odds . J. Bus. Econ. Stat. , 11 : 289 – 300 .
- Inclan , C. and Tiao , G. 2004 . Use of cumulative sums of squares for retrospective detection of changes of variance . J. Amer. Statist. Assoc. , 89 : 913 – 923 .
- Karathanassi , V. , Iossifidis , C. and Rokos , D. 1996 . Application of machine vision techniques in the quality control of pharmaceutical solutions . Comput. Ind. , 32 : 169 – 179 .
- Kluppelberg , C. and Mikosch , T. 1996 . Gaussian limit fields for the integrated periodogram . Ann. Appl. Probab. , 6 : 969 – 991 .
- Lavielle , M. and Lebarbier , E. 2001 . An application of MCMC methods for the multiple change-points problem . Signal Process. , 81 : 39 – 53 .
- Lowry , C. A. and Montgomery , D. C. 1998 . A review of multivariate control charts . IIE Trans. , 27 : 800 – 810 .
- MacDougall , S. , Nandi , A. K. and Chapman , R. 1998 . Multiresolution and hybrid Bayesian algorithms for automatic detection of change points . Proc. IEEE Vis. Image Signal Process. , 145 ( 4 ) : 280 – 286 .
- Malladi , D. P. and Speyer , J. L. 1999 . A generalized Shiryayev sequential probability ratio test for change detection and isolation . IEEE Trans. Automat. Control , 44 : 1522 – 1534 .
- Morgenstern , V. M. , Upadhyaya , B. R. and Benedetti , M. Signal anomaly detection using modified Cusum method . Proceedings of the 27th IEEE Conference on Decision and Control . Texas, USA. Vol. 3 , pp. 2340 – 2341 .
- Mount , T. 2001 . Market power and price volatility in restructured markets for electricity . Decis. Support Syst. , 30 : 311 – 325 .
- Ombao , H. , Heo , J. and Stoffer , D. 2004 . “ Statistical analysis of seismic signals: An almost real-time approach ” . Time Series Analysis and Applications to Geophysical Systems: IMA Series Vol. 139 , 53 – 72 . New York : Wiley .
- Pai , P. F. and Hong , W. C. 2005 . Support vector machines with simulated annealing algorithms in electricity load forecasting . Energy Convers. Manage , 46 : 2669 – 2688 .
- Percival , D. B. and Walden , A. T. 2000 . Wavelet Methods for Time Series Analysis , Cambridge : Cambridge University Press .
- Priestley , M. B. 1980 . State-dependent models: A general approach to nonlinear time series analysis . J. Time Ser. Anal. , 1 : 47 – 71 .
- Ramirez-Beltran , N. D. and Montes , J. A. 1997 . Neural networks for on-line parameter change detections in time series models . Comput. Ind. Eng. , 33 : 337 – 340 .
- StatSoft, Inc., Statistica (data analysis software system), version 7.1, 2005; software available at www.statsoft.com
- Tong , H. 1978 . “ On a threshold model ” . In Pattern Recognition and Signal Processing , Edited by: Chen , C. H. Amsterdam : Sijhoff & Noordhoff .
- Tsay , R. 2005 . Analysis of Financial Time Series , 2 , New Jersey : Wiley-Interscience .
- Ye , N. 2000 . Confidence assessment of quality prediction from process measurement in sequential manufacturing processes . IEEE Trans. Electron. Packag. Manuf , 23 : 177 – 184 .
- Zhang , G. P. , Patuwo , B. E. and Hu , M. Y. 2001 . A simulation study of artificial neural networks for nonlinear time-series forecasting . Comput. Oper. Res. , 28 : 381 – 396 .