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Soft Computing

, Volume 21, Issue 16, pp 4707–4720 | Cite as

Detecting structural breaks in time series via genetic algorithms

  • Benjamin Doerr
  • Paul Fischer
  • Astrid Hilbert
  • Carsten Witt
Methodologies and Application

Abstract

Detecting structural breaks is an essential task for the statistical analysis of time series, for example, for fitting parametric models to it. In short, structural breaks are points in time at which the behaviour of the time series substantially changes. Typically, no solid background knowledge of the time series under consideration is available. Therefore, a black-box optimization approach is our method of choice for detecting structural breaks. We describe a genetic algorithm framework which easily adapts to a large number of statistical settings. To evaluate the usefulness of different crossover and mutation operations for this problem, we conduct extensive experiments to determine good choices for the parameters and operators of the genetic algorithm. One surprising observation is that use of uniform and one-point crossover together gave significantly better results than using either crossover operator alone. Moreover, we present a specific fitness function which exploits the sparse structure of the break points and which can be evaluated particularly efficiently. The experiments on artificial and real-world time series show that the resulting algorithm detects break points with high precision and is computationally very efficient. A reference implementation with the data used in this paper is available as an applet at the following address: http://www.imm.dtu.dk/~pafi/TSX/. It has also been implemented as package SBRect for the statistics language R.

Keywords

Genetic Algorithms Statistics Break points Experimentation  Time series Range trees 

Notes

Acknowledgments

Paul Fischer gratefully acknowledges support by DTU’s Corrit travel grant. Benjamin Doerr was supported through grant WI 3552/1-1 by the German Research Foundation (DFG) while visiting the Technical University of Denmark in 2012.

Compliance with ethical standards

Conflict of interest

The authors declare that they have no conflict of interest.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2016

Authors and Affiliations

  • Benjamin Doerr
    • 1
  • Paul Fischer
    • 2
  • Astrid Hilbert
    • 3
  • Carsten Witt
    • 2
  1. 1.École PolytechniquePalaiseauFrance
  2. 2.DTU Compute Technical University of DenmarkLyngbyDenmark
  3. 3.Mathematics Linnaeus UniversityVäxjöSweden

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