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I'm working with some time-series data that is clearly non stationary. At first glance, it looks like there are 3 sections of my data. Within each section, the data have similar mean and variance, but between each section the variance of the data is quite different.

Is there a well known algorithm to detect and label different sections of stationarity in time-series data?

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If you have reason to believe there is abrupt regime switching, you can apply change detection to segment the time series, then estimate the model parameters (mean, variance) of each segment so that you can determine the start of the next segment. Welcome to the site!

– Emre – 2018-04-23T17:03:04.427