Welcome to the Regime Shift Detection Project

A new version of SRSD (v. 6.2) has been released. It has a faster algorithm (due to incremental recalculation of weighted means and variances) and a better handling of outliers. An option to assign weights to the outliers is now extended to shift detection in the variance and correlation coefficient. The software can be purchased for $59.95 either on eBay or directly from this site. Bonus: FREE Excel Macro for the Iterated Cumulative Sums of Squares algorithm (ICSS) with the purchase of SRSD ($19.95 value).

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.

The SRSD software has been used in a wide variety of applications, ranging from oceanography to climate research to economics (see Overview and 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.