Detecting relevant changes in the spatiotemporal mean function

DOI10.1111/JTSA.12674MaRDI QIDQ6176936zbMATH OpenFDO

Authors Holger Dette

Publication date 24 August 2023

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://arxiv.org/abs/2203.04716

zbMATH Keywords

change point analysisfunctional data analysisrelevant hypothesesself-normalizationspatiotemporal process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62Mxx) Functional data analysis (62R10)

Abstract: For a spatiotemporal process ${X_j(s,t)|sinS,tinT}_{j=1,ldots,n}$, where $S$ denotes the set of spatial locations and $T$ the time domain, we consider the problem of testing for a change in the sequence of mean functions. In contrast to most of the literature we are not interested in arbitrarily small changes, but only in changes with a norm exceeding a given threshold. Asymptotically distribution free tests are proposed, which do not require the estimation of the long-run spatiotemporal covariance structure. In particular we consider a fully functional approach and a test based on the cumulative sum paradigm, investigate the large sample properties of the corresponding test statistics and study their finite sample properties by means of simulation study.

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Cited in

(3)

• Detection of spatiotemporal changepoints: a generalised additive model approach
• Testing relevant hypotheses in functional variance function via self-normalization
• Autocovariance function estimation via difference schemes for a semiparametric change point model with m-dependent errors

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