Welcome to the Regime Shift Detection Project

A new version of SRSD (v. 5) has just been released, which now includes the detection of regime shifts (change points) in the correlation coefficient. It can be purchased on eBay for an introductory price of $49.95. Those who purchased version 4 earlier can upgrade to version 5 for $39.95.

This site tracks the development of the software for regime shift detection in time series known as STARS (Sequential T-test Analysis of Regime Shifts) or SRSD (Sequential Regime Shift Detector). The former acronym was used for the earlier versions of the software that primarily dealt with shifts in the mean. After the package was expanded to include shifts in the variance and correlation, which use the F-test, rather than t-test, the latter acronym became more appropriate.

SRSD has been used in a wide variety of applications, ranging from oceanography to climate research to economics (see references in Google Scholar). It has a number of advantages over other existing methods: 
  • Automatically detects regime shifts (or change points) in both the mean and variance;
  • Better performance at the end of time series, indicating a possibility of a shift in real time;
  • Can be tuned up to detect shifts on different time scales;
  • No need to calculate anomalies prior to applying the method;
  • No a priori information about shifts in the series is required;
  • It can handle time series with autocorrelation, thus separating regimes due to persistence from the true regimes with different statistics.
Please note that the earlier version of the SRSD (v. 3.2), which is hosted on the Bering Climate website, has some bugs affecting the calculation of regime shift in the variance. Those bugs are fixed in v. 3.4, which is available here for download, but it works only in Excel 2003 or lower. All subsequent versions, starting with SRSD v. 4.0, require Excel 2007 or higher.