Consistent nonparametric change point detection combining CUSUM and marked empirical processes (Q2188476)
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scientific article
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Consistent nonparametric change point detection combining CUSUM and marked empirical processes (English)
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11 June 2020
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The paper puts forward a modified CUSUM type test approach with a sequential marked empirical process for a weakly dependent time series regression model with multivariate covariates and univariate observations, in order to check the stability in time of the nonparametric conditional mean function against change point alternatives. The model is quite general, with few constraints. A bootstrap version is also presented in case of unstable variance.
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bootstrap
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change point detection
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cumulative sums
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distribution-free test
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heteroscedasticity
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kernel estimation
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nonparametric regression
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sequential empirical process
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0.8471297025680542
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0.8387999534606934
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0.833202064037323
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0.8245260715484619
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