Testing epidemic change in nearly nonstationary process with statistics based on residuals

DOI10.1007/S00362-015-0712-0zbMATH Open1378.62079arXiv1410.4945OpenAlexW1465325806MaRDI QIDQ1685200FDOQ1685200

Authors: Alfredas Račkauskas, Charles Suquet, Jurgita Markeviciute 

Publication date: 13 December 2017

Published in: Statistical Papers (Search for Journal in Brave)

Abstract: We study an epidemic type change in innovations of a first order autoregressive process $y_{n,k}=varph{i}_n{y}_{n,k-1}+epsilo{n}_k+a_{n,k}$, where $ph{i}_n$ is either a constant in $(-1,1)$ or a sequence in $(0,1)$, converging to 1. For $k$ inside some unknown interval $mathbb{I}_n^{a}st=(k^{a}st,k^{a}st+el{l}^{a}st]$, $a_{n,k}=a_n$ while $a_{n,k}=0$ for $k$ outside $mathbb{I}_n^{a}st$. When $a_{n}eq0$, we have an epidemic deviation from the usual (zero) mean of innovations. Since innovations are not observed, we build uniform increments statistics on residuals $(widehat{epsilon}_k)$ of the process $y_{n,k}$. We assume that innovations $(epsilo{n}_k)$ are regularly varying with index $pge2$ or satisfies integrability condition $li{m}_{toinfty}{t}^{p}P(|epsilo{n}_1|>t)=0$ for $p>2$ and $Eepsilo{n}_k^2<infty$ for $p=2$. We find the limit distributions of the tests under no change and prove consistency under short epidemics that is $$ for some $$.

Full work available at URL: https://arxiv.org/abs/1410.4945

Recommendations

• Epidemic change tests for the mean of innovations of an AR(1) process
• Testing the epidemic change in nearly nonstationary autoregressive processes
• Change in autoregressive processes
• Epidemic change-point detection in general causal time series
• Tests for change-points with epidemic alternatives

zbMATH Keywords

Brownian motionregular variationautoregressive processepidemic changeuniform increments statistics

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10)

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Cited In (8)

• Epidemic change tests for the mean of innovations of an AR(1) process
• Guaranteed testing for epidemic changes of a linear regression model
• Testing for epidemic changes in the mean of a multiparameter stochastic process
• Tests for an Epidemic Change in a Sequence of Exponentially Distributed Random Variables
• Functional limit theorems in Hölder space for residuals of nearly nonstationary AR(1) process
• Testing the epidemic change in nearly nonstationary autoregressive processes
• Epidemic change-point detection in general causal time series
• Change detection in \(\mathrm{INAR}(p)\) processes against various alternative hypotheses

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