Segmentation of time series with long-range fractal correlations
Segmentation is a standard method of data analysis to identify change-points dividing a nonstationary time series into homogeneous segments. However, for long-range fractal correlated series, most of the segmentation techniques detect spurious change-points which are simply due to the heterogeneities induced by the correlations and not to real nonstationarities. To avoid this oversegmentation, we present a segmentation algorithm which takes as a reference for homogeneity, instead of a random i.i.d. series, a correlated series modeled by a fractional noise with the same degree of correlations as the series to be segmented. We apply our algorithm to artificial series with long-range correlations and show that it systematically detects only the change-points produced by real nonstationarities and not those created by the correlations of the signal. Further, we apply the method to the sequence of the long arm of human chromosome 21, which is known to have long-range fractal correlations. We obtain only three segments that clearly correspond to the three regions of different G + C composition revealed by means of a multi-scale wavelet plot. Similar results have been obtained when segmenting all human chromosome sequences, showing the existence of previously unknown huge compositional superstructures in the human genome.