Empirical likelihood for change point detection in autoregressive models

DOI10.1007/S42952-020-00061-WMaRDI QIDQ2131973zbMATH OpenOpenAlexFDO

Authors Ramadha D. Piyadi Gamage, Wei Ning

Publication date 27 April 2022

Published in Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1711.09533

zbMATH Keywords

autoregressive modelchange point analysisconsistencyempirical likelihoodextreme value distribution

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: Change point analysis has become an important research topic in many fields of applications. Several research work has been carried out to detect changes and its locations in time series data. In this paper, a nonparametric method based on the empirical likelihood is proposed to detect the structural changes of the parameters in autoregressive (AR) models . Under certain conditions, the asymptotic null distribution of the empirical likelihood ratio test statistic is proved to be the extreme value distribution. Further, the consistency of the test statistic has been proved. Simulations have been carried out to show that the power of the proposed test statistic is significant. The proposed method is applied to real world data set to further illustrate the testing procedure.

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Cited in

(12)

• Autocovariance estimation in the presence of changepoints
• Empirical likelihood for break detection in time series
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• Change-point analysis using two-sample empirical likelihood method with applications to climatology

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