Relevant change points in high dimensional time series

DOI10.1214/18-EJS1464zbMATH Open1403.62158arXiv1704.04614OpenAlexW2963353355MaRDI QIDQ1786570FDOQ1786570

Authors: Josua Gösmann, Holger Dette 

Publication date: 24 September 2018

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Abstract: This paper investigates the problem of detecting relevant change points in the mean vector, say $m{u}_t=(m{u}_{1,t},ldots,m{u}_{d,t}{)}^T$ of a high dimensional time series $(Z_t{)}_{tinmathbbZ}$. While the recent literature on testing for change points in this context considers hypotheses for the equality of the means $m{u}_h^{(1)}$ and $m{u}_h^{(2)}$ before and after the change points in the different components, we are interested in a null hypothesis of the form ${\displaystyle }$ H_0: |mu^{(1)}_{h} - mu^{(2)}_{h} | leq Delta_h ~~~mbox{ for all } ~~h=1,ldots ,d ${\displaystyle }$ where $Delt{a}_1,ldots,Delt{a}_d$ are given thresholds for which a smaller difference of the means in the $h$-th component is considered to be non-relevant. We propose a new test for this problem based on the maximum of squared and integrated CUSUM statistics and investigate its properties as the sample size $n$ and the dimension $d$ both converge to infinity. In particular, using Gaussian approximations for the maximum of a large number of dependent random variables, we show that on certain points of the boundary of the null hypothesis a standardised version of the maximum converges weakly to a Gumbel distribution.

Full work available at URL: https://arxiv.org/abs/1704.04614

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• Detecting relevant changes in time series models
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zbMATH Keywords

CUSUMhigh-dimensional time seriesphysical dependence measurechange point analysisprecise hypothesesrelevant changes

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05) Non-Markovian processes: hypothesis testing (62M07)

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Cited In (12)

• Inference for change points in high-dimensional data via selfnormalization
• Detecting relevant changes in time series models
• High dimensional efficiency with applications to change point tests
• Sequential change point detection in high dimensional time series
• Frequency Detection and Change Point Estimation for Time Series of Complex Oscillation
• Sequential Gaussian approximation for nonstationary time series in high dimensions
• Detecting Abrupt Changes in High-Dimensional Self-Exciting Poisson Processes
• Detecting changes in the second moment structure of high-dimensional sensor-type data in a \(K\)-sample setting
• Validating approximate slope homogeneity in large panels
• Uniform change point tests in high dimension
• Optimal multiple change-point detection for high-dimensional data
• Estimating a Change Point in a Sequence of Very High-Dimensional Covariance Matrices

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