[SciPy-user] Statistics advise with scipy

Pierre GM pgmdevlist@gmail....
Mon Jul 21 12:12:39 CDT 2008


On Monday 21 July 2008 12:59:06 didier rano wrote:
> Thanks Pierre,
>
> What do you mean by "finding the breaks in trend and/or regimes" ?

There's a lot of literature on the detection of change-points. Roughly, a 
change-point can be a step change-point (eg., switching from one mean to 
another, as you observe in your data), or a trend change-points (the slope of 
a linear model changes at some point), or both. 

www.beringclimate.noaa.gov/regimes/Regime_shift_methods_list.htm
http://ams.allenpress.com/perlserv/?request=get-pdf&doi=10.1175%2F2008JCLI1956.1

> In fact, in my case, I have several objectives:
> * Draw a graph without outliers data

Well, first you need to define what an outlier is in your problem: assuming 
normal data, how far away from the mean should a point be to be an outlier ? 
1,2, 3 standard deviation ? What if your data is not normal ? In that case, 
robust methods can give good result.

> * Compute a trend wihout outliers data
> * Determine when the behavior/trend data will change. May be "finding the
> breaks in trend and/or regimes " ?


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