Application of multi-scale line fitting method in change point detection in time series

In test and selection processes of electro-hydraulic servo valve, the change point of time series should be checked to measure the dead zone and the resolution ratio. The main detection methods are Mann-Kendall method, cumulative sum charts (CUSUM) method, least mean square error (MSE) method, and wavelet transform method. The methods all have some limitations. A multi-scale line fitting method is proposed, which can be used to detect the change point step-by-step by changing the scale of line fitting. The time series are divided into many segments according to the initial scale calculation method, and every single segment is replaced by a fitting line using least square method. Then the slopes of every neighbor segment are compared to find out the maximum change of the slope, and the change point should be included in these two segments. The scale is changed in the range of the two neighbor segments, and the change points are continously detected using the method until the length of segment is reduced to 1.The final point found out by the method is the change point of original time series. The proposed method is compared with other methods. The proposed method is used for the electro-hydraulic servo testing system and the fault signal detection to verify its accuracy and effectiveness. ©, 2015, China Ordnance Society. All right reserved.