Detecting a structural change in functional time series using local Wilcoxon statistic
From MaRDI portal
Publication:2010820
functional data analysisWilcoxon testfunctional depthlocal depthdetecting structural changeheterogenity
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Hypothesis testing in multivariate analysis (62H15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Order statistics; empirical distribution functions (62G30)
Abstract: Functional data analysis (FDA) is a part of modern multivariate statistics that analyses data providing information about curves, surfaces or anything else varying over a certain continuum. In economics and empirical finance we often have to deal with time series of functional data, where we cannot easily decide, whether they are to be considered as homogeneous or heterogeneous. At present a discussion on adequate tests of homogenity for functional data is carried. We propose a novel statistic for detetecting a structural change in functional time series based on a local Wilcoxon statistic induced by a local depth function proposed by Paindaveine and Van Bever (2013).
Recommendations
- Detecting structural breaks in eigensystems of functional time series
- Asymptotic methods in change-point analysis
- Testing stationarity of functional time series
- A more powerful test identifying the change in mean of functional data
- A modified Wilcoxon test for change points in long-range dependent time series
Cites work
- scientific article; zbMATH DE number 3258670 (Why is no real title available?)
- A Quality Index Based on Data Depth and Multivariate Rank Tests
- A family of minimax rates for density estimators in continuous time
- A topologically valid definition of depth for functional data
- Comprehensive Definitions of Breakdown Points for Independent and Dependent Observations
- Depth-based inference for functional data
- Detecting trends in time series of functional data: a study of antarctic climate change
- Dilemmas of robust analysis of economic data streams
- Empirical properties of forecasts with the functional autoregressive model
- Fast nonparametric classification based on data depth
- Forecasting the term structure of government bond yields
- From Depth to Local Depth: A Focus on Centrality
- Functional Data Analysis with R and MATLAB
- Functional data analysis.
- Homogeneity test for functional data
- Inference for functional data with applications
- Integrated depth for functional data: statistical properties and consistency
- Introduction to robust estimation and hypothesis testing
- Multivariate analysis by data depth: Descriptive statistics, graphics and inference. (With discussions and rejoinder)
- New nonparametric tests of multivariate locations and scales using data depth
- Nonparametric multivariate rank tests and their unbiasedness
- On a notion of data depth based on random simplices
- Robust estimation and classification for functional data via projection-based depth notions
- Smooth depth contours characterize the underlying distribution
- Spatial depth-based classification for functional data
- Structural properties and convergence results for contours of sample statistical depth functions.
- Testing stationarity of functional time series
- The random Tukey depth
- Trimmed means for functional data
Cited in
(6)- Detecting structural breaks in eigensystems of functional time series
- Time Series Forecasting Using Range Regression Automata
- A note on repeated measures analysis for functional data
- New metrics and approaches for predicting bankruptcy
- Detecting and dating structural breaks in functional data without dimension reduction
- Local Fourier tests for structural change based on residuals
This page was built for publication: Detecting a structural change in functional time series using local Wilcoxon statistic
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2010820)
