Identification of spikes in time series

DOI10.1515/EM-2018-0005MaRDI QIDQ2192291zbMATH OpenOpenAlexWikidataFDO

Authors Dana E. Goin, Jennifer Ahern

Publication date 16 August 2020

Published in Epidemiologic Methods (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1801.08061

zbMATH Keywords

additive outlierspikestime seriesviolence

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to social sciences (62P25)

Abstract: Identification of unexpectedly high values in a time series is useful for epidemiologists, economists, and other social scientists interested in the effect of an exposure spike on an outcome variable. However, the best method to identify spikes in time series is not known. This paper aims to fill this gap by testing the performance of several spike detection methods in a simulation setting. We created simulations parameterized by monthly violence rates in nine California cities that represented different series features, and randomly inserted spikes into the series. We then compared the ability to detect spikes of the following methods: ARIMA modeling, Kalman filtering and smoothing, wavelet modeling with soft thresholding, and an iterative outlier detection method. We varied the magnitude of spikes from 10-50% of the mean rate over the study period and varied the number of spikes inserted from 1 to 10. We assessed performance of each method using sensitivity and specificity. The Kalman filtering and smoothing procedure had the best overall performance. We applied Kalman filtering and smoothing to the monthly violence rates in nine California cities and identified spikes in the rate over the 2005-2012 period.

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Cited in

(2)

• A survey of statistical and machine learning methods of quantile regression in time series and their suitability in predicting dengue outbreaks
• Is news really news? The effects of selective disclosure regulations

Describes a project that uses

Uses Software

• TSA
• Forecast
• KFAS
• R
• WaveThresh4
• forecast
• wavethresh

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