Panel data segmentation under finite time horizon

DOI10.1016/J.JSPI.2015.05.007MaRDI QIDQ897629zbMATH OpenOpenAlexFDO

Authors Leonid Torgovitski

Publication date 7 December 2015

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1501.00177

zbMATH Keywords

Lassopanel datachange point estimationCUSUMnonparametricsegmentationserial dependencetotal variation denoising

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Sequential statistical analysis (62L10)

Abstract: We study the nonparametric change point estimation for common changes in the means of panel data. The consistency of estimates is investigated when the number of panels tends to infinity but the sample size remains finite. Our focus is on weighted denoising estimates, involving the group fused LASSO, and on the weighted CUSUM estimates. Due to the fixed sample size, the common weighting schemes do not guarantee consistency under (serial) dependence and most typical weightings do not even provide consistency in the i.i.d. setting when the noise is too dominant. Hence, on the one hand, we propose a consistent covariance-based extension of existing weighting schemes and discuss straightforward estimates of those weighting schemes. The performance will be demonstrated empirically in a simulation study. On the other hand, we derive sharp bounds on the change to noise ratio that ensure consistency in the i.i.d. setting for classical weightings.

Recommendations

• On modeling panels of time series
• scientific article; zbMATH DE number 3848453
• Panel data analysis: a survey on model-based clustering of time series
• Continuous panel models with time dependent parameters
• Continuous time modeling of panel data: SEM versus filter techniques
• scientific article; zbMATH DE number 735013
• Panel Data Analysis
• Time-series segmentation: A model and a method
• Inference on segmented cointegration
• Segmental dynamic factor analysis for time series of curves

Cites work

• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
• scientific article; zbMATH DE number 2107836 (Why is no real title available?)
• Banding sample autocovariance matrices of stationary processes
• Change-point detection in panel data
• Common breaks in means and variances for panel data
• Common breaks in time trends for large panel data with a factor structure
• Estimation in multi-path change-point problems
• Extensions of some classical methods in change point analysis
• Maximum likelihood estimation in the multi-path change-point problem
• Multiscale change point inference. With discussion and authors' reply
• Multivariate convex regression with adaptive partitioning
• Panel data segmentation under finite time horizon
• Regularized estimation of large covariance matrices
• Structural breaks in time series
• Testing structural changes in panel data with small fixed panel size and bootstrap

Cited in

(4)

• Break point detection for functional covariance
• Panel data segmentation under finite time horizon
• Nonparametric maximum likelihood estimation method for common change point in panel data
• Structural breaks in panel data: large number of panels and short length time series

This page was built for publication: Panel data segmentation under finite time horizon

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q897629)