Detecting structural breaks in eigensystems of functional time series

DOI10.1214/20-EJS1796zbMATH Open1471.62558arXiv1911.07580MaRDI QIDQ2044328FDOQ2044328

Holger Dette, Tim Kutta

Publication date: 9 August 2021

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

Abstract: Detecting structural changes in functional data is a prominent topic in statistical literature. However not all trends in the data are important in applications, but only those of large enough influence. In this paper we address the problem of identifying relevant changes in the eigenfunctions and eigenvalues of covariance kernels of $L^2[0,1]$-valued time series. By self-normalization techniques we derive pivotal, asymptotically consistent tests for relevant changes in these characteristics of the second order structure and investigate their finite sample properties in a simulation study. The applicability of our approach is demonstrated analyzing German annual temperature data.

Full work available at URL: https://arxiv.org/abs/1911.07580

zbMATH Keywords

eigenfunctionseigenvaluesself-normalizationfunctional time seriesrelevant changes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05) Applications of statistics to environmental and related topics (62P12) Eigenvalues, singular values, and eigenvectors (15A18) Functional data analysis (62R10)

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Cited In (8)

• Statistical inference for the slope parameter in functional linear regression
• Quantifying deviations from separability in space-time functional processes
• Consistency of binary segmentation for multiple change-point estimation with functional data
• Detection of a structural break in intraday volatility pattern
• Break point detection for functional covariance
• Detection of Multiple Structural Breaks in Multivariate Time Series
• Multiple change point detection in functional data with applications to biomechanical fatigue data
• Change point analysis of covariance functions: a weighted cumulative sum approach

Uses Software

• fda (R)

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