How to Perform Change Point Analysis?

[batsdto2002]

Hello All,

I'm a novist to SAS and I want to perform change point analysis, in the data I don't know the table to select for the analysis, could someone help me with the procedure.

[mkeintz]

Perhaps instead of the phrase "change point analysis", you could describe the operational tasks you want to perform that comprise a change point analysis.

In addition, I'd suggest showing a DATA step with actual data representing the typing of content you have.

Having said that, a crude internet search for "change point analysis" shows that it basically means to take a data series, find it's mean, calculate a corresponding series of cumulative differences from the mean, and identify that time point at which the absolute value of the cumulative difference is maximized.  That time becomes the change point for that series.

And then you take the two consequent sub-series and do the same to them.

The above can be relatively easily programmed.

My question to you would be: how do you know when to stop subdividing the sub-series.

And, due to the nature of my question to you, I suggest you consider moving this post to the analytics and statistics forum.

[SAS_Rob]

“Change point analysis” is a little bit of a vague term, but the following example from Proc MCMC might be a good place to start.  If this is what you ultimately want to do, then you would need to program it rather than use a point and click approach.

https://go.documentation.sas.com/?docsetId=statug&docsetVersion=15.1&docsetTarget=statug_mcmc_exampl...