Hi all, I would like to investigate a financial index time series. From the observation, I notice that there might be one or multiple structural breaks embedded in the time series. Is there a way for Mathematica to detect those structural breaks and the breakpoints? I used to use Eviews for analysis but now want to transform my workflow to Mathematica. I would appreciate it if someone can provide me the hint. Best, Tuoyi

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Hi Neil, Thank you so much for your answer. Your solution works well on my sample data, but the case is that my sample data does only contain one innovation on mean. However, for the real world case, such as Bitcoin price data, there might be a combination of innovations on many parameters, and the underlying distribution in each period may vary as well (ARMA + Random Walk + AR, with two structural breaks, for example). I create a different time series, which simply combines two AR(1) process, but with different parameters. Then the structural break is not that obvious. https://www.wolframcloud.com/objects/7dd2812d-1b12-47bf-a1e8-d48303fe28cd So, I just wonder, does mathematica have a universal (or partly universal) way/function to detect structural break? Just as Chow test or Bai-Perron test. Best, Tuoyi

Tuoyi, If I understand what you are trying to do, I would use Differences to find the jump: DateListPlot[Differences[ts], PlotRange -> All] to get the break at the peak If the noise is a problem you can filter it: (in this case with a 10 day filter) filt = MeanFilter[ts, 36002410] DateListPlot[{ts, filt}] ListLinePlot[Differences[filt], PlotRange -> All] Now you have a more distinctive break (peak). There are many ways to find the peaks depending on exactly what you are trying to do. I hope this helps. Regards, Neil

Test time series structural break and breakpoints?