[R] time series and regions of change

Sean Davis sdavis2 at mail.nih.gov
Fri Jul 22 20:46:31 CEST 2005

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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