[R] time series and regions of change

From: Sean Davis <sdavis2_at_mail.nih.gov>
Date: Sat 23 Jul 2005 - 04:46:31 EST

Preface: this is a statistical question more than an R question.

I have a vector of numbers (assume a regular time series). Within this time series, I have a set of regions of interest (all of different lengths) that I want to compare against a "baseline" (which is known). There is some autocorrelation involved. I would like to determine the "significance" of the regions as judged by their length and relative height from the baseline. I could do a simple t-test or something like that, but this seems to be too sensitive (probably due to dependency between adjacent observations). I have thought about Hidden Markov Models, but I don't know the number of states. Any other ideas?


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