Journal of the Korean Data and Information Science Society
- 제15권3호
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- Pages.585-592
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- 2004
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- 1598-9402(pISSN)
Comparing Change-Point Detection Methods to Detect the Korea Economic Crisis of 1997
초록
This study detects Korea economic crisis of 1997 using various change-point detection methods and then compares their performance. In change-point detection method, there are three major categories: (1) the parametric approach, (2) the nonparametric approach, and (3) the model-based approach. Through the application to Korea foreign exchange rate during her economic crisis, we compare the employed change-point detection methods and, furthermore, determine which of them performs better.