The segmentation procedure as a tool for discrete modeling of hydrometeorological regimes

A possible cause of nonstationarity in time series is the existence of some abrupt modification of their statistical parameters, and especially of a sudden change of the mean. Series with such a change exhibit a strong temporal persistence, with high values of the Hurst coefficient, but with poor possibilities to fit any autoregressive model. Some classical tests (Pettitt, 1979; Buishand, 1982) enable to find a possible change point of the mean and then to split the original nonstationary series into two stationary sub-series. The Bayesian procedure defined by Lee and Heghinian (1977) supposes the “a-priori” existence of a change of the mean somewhere in the series and yields at each time step an “a-posteriori” probability of mean change.