An Exploratory Study on Removing Environmental and Operational Effects Using a Regime-Switching Cointegration Method

  • Haichen ShiEmail author
  • Keith Worden
  • Elizabeth J. Cross
Conference paper
Part of the Conference Proceedings of the Society for Experimental Mechanics Series book series (CPSEMS)


Cointegration is a property of some nonstationary time series; it is now widely adopted in various econometric analyses. Recently, cointegration has been successfully adapted to address the issue of environmental and operational variations (EOVs) in structural health monitoring. However, cointegration is a linear algorithm, while many real world structures may exhibit nonlinear behaviour under EOVs. The aim of this paper is to introduce a novel nonlinear cointegration approach, as an extension of the previous work on cointegration. More specifically, the cointegrating relationship is allowed to switch from one regime to another; the augmented Dickey-Fuller (ADF) test statistic is utilised as a tool to determine where to activate the switch. The Johansen procedure is adopted for estimating the cointegration relationship. The proposed approach will be examined with a synthetic example, showing that EOVs can be effectively eliminated.


Nonlinear cointegration Structural health monitoring Environmental and operational variation Regime switching Nonstationary time series 


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Copyright information

© The Society for Experimental Mechanics, Inc. 2017

Authors and Affiliations

  • Haichen Shi
    • 1
    Email author
  • Keith Worden
    • 1
  • Elizabeth J. Cross
    • 1
  1. 1.Department of Mechanical Engineering, Dynamics Research GroupUniversity of SheffieldSheffieldUK

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