Abstract
This paper provides a procedure for monitoring structural changes, which are gradually reflected in observations. Most of the monitoring schemes assume that parameters change at specific points in time series. However structural changes are sometimes reflected slowly rather than rapidly in real time series such as financial returns. This paper proposes a procedure for monitoring such changes by applying a fuzzy trend model to time series. A fuzzy trend model is a model for time series, based on the Takagi-Sugeno's fuzzy system. Simulation studies show the effectiveness of the prosed method. Moreover the proposed method is applied to real financial time series. The result shows the applicability of the fuzzy trend model.
