Consistent nonparametric change point detection combining CUSUM and marked empirical processes
From MaRDI portal
bootstrapchange point detectioncumulative sumsdistribution-free testheteroscedasticitykernel estimationnonparametric regressionsequential empirical process
Nonparametric regression and quantile regression (62G08) Nonparametric statistical resampling methods (62G09) Nonparametric hypothesis testing (62G10) Measures of association (correlation, canonical correlation, etc.) (62H20) Sequential estimation (62L12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Abstract: A weakly dependent time series regression model with multivariate covariates and univariate observations is considered, for which we develop a procedure to detect whether the nonparametric conditional mean function is stable in time against change point alternatives. Our proposal is based on a modified CUSUM type test procedure, which uses a sequential marked empirical process of residuals. We show weak convergence of the considered process to a centered Gaussian process under the null hypothesis of no change in the mean function and a stationarity assumption. This requires some sophisticated arguments for sequential empirical processes of weakly dependent variables. As a consequence we obtain convergence of Kolmogorov-Smirnov and Cram'er-von Mises type test statistics. The proposed procedure acquires a very simple limiting distribution and nice consistency properties, features from which related tests are lacking. We moreover suggest a bootstrap version of the procedure and discuss its applicability in the case of unstable variances.
Recommendations
- Nonparametric volatility change detection
- Test for change point detection in nonparametric regression model for time series
- Testing structural change in time-series nonparametric regression models
- Testing for change in mean of independent multivariate observations with time varying covariance
- Nonparametric sequential change-point detection for multivariate time series based on empirical distribution functions
Cites work
- A weak convergence result for sequential empirical processes under weak dependence
- About the Lindeberg method for strongly mixing sequences
- Bootstrap procedures under some non-i.i.d. models
- Detecting structural changes under nonstationary volatility
- Estimating change points in nonparametric time series regression models
- scientific article; zbMATH DE number 3973963 (Why is no real title available?)
- scientific article; zbMATH DE number 1239650 (Why is no real title available?)
- scientific article; zbMATH DE number 2172883 (Why is no real title available?)
- Introduction to time series.
- Jackknife, bootstrap and other resampling methods in regression analysis
- Least squares estimation and tests of breaks in mean and variance under misspecification
- Nonlinear time series. Nonparametric and parametric methods
- Nonparametric model checks for regression
- Nonparametric model checks for time series
- Non‐parametric detection and estimation of structural change
- Significance testing in nonparametric regression based on the bootstrap.
- Strong convergence of sums of \(\alpha \)-mixing random variables with applications to density estimation
- Testing for linear autoregressive dynamics under heteroskedasticity
- Testing for structural change in time-varying nonparametric regression models
- Testing jointly for structural changes in the error variance and coefficients of a linear regression model
- Testing structural change in partially linear models
- Testing structural change in time-series nonparametric regression models
- THE CUSUM TESTS WITH NONPARAMETRIC REGRESSION RESIDUALS
- The dependent wild bootstrap
- Trending time-varying coefficient time series models with serially correlated errors
- UNIFORM CONVERGENCE RATES FOR KERNEL ESTIMATION WITH DEPENDENT DATA
- Uniform convergence rates of kernel estimators with heterogeneous dependent data
- Weak convergence and empirical processes. With applications to statistics
Cited in
(19)- Gradient-based structural change detection for nonstationary time series M-estimation
- Estimating change points in nonparametric time series regression models
- Change point detection for nonparametric regression under strongly mixing process
- A Darling-Erdős-type CUSUM-procedure for functional data
- Detecting relevant changes in the mean of nonstationary processes -- a mass excess approach
- Change-point detection for the link function in a single-index model
- Nonparametric comparison of several transformations of distribution functions
- Testing for a change of the innovation distribution in nonparametric autoregression: the sequential empirical process approach
- The CUSUM test for detecting structural changes in strong mixing processes
- CUSUM test for change point in stochastic trend with stationary process
- Two tests for sequential detection of a change-point in a nonlinear model
- Nonparametric volatility change detection
- A weak convergence result for sequential empirical processes under weak dependence
- A robust method for shift detection in time series
- Page's sequential procedure for change-point detection in time series regression
- Detecting relevant changes in time series models
- A consistent nonparametric test for the structure change in quantile regression
- On change point detection in regression function using nonparametric autoregressive processes
- Testing for change in mean of independent multivariate observations with time varying covariance
This page was built for publication: Consistent nonparametric change point detection combining CUSUM and marked empirical processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2188476)
