Consistent nonparametric change point detection combining CUSUM and marked empirical processes

DOI10.1214/20-EJS1715MaRDI QIDQ2188476zbMATH OpenFDO

Authors Maria Mohr, Natalie Neumeyer

Publication date 11 June 2020

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

Full work available at URL https://arxiv.org/abs/1901.08491, https://projecteuclid.org/euclid.ejs/1591149719

zbMATH Keywords

bootstrapheteroscedasticitykernel estimationnonparametric regressionchange point detectiondistribution-free testsequential empirical processcumulative sums

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Measures of association (correlation, canonical correlation, etc.) (62H20) Sequential estimation (62L12)

Abstract: A weakly dependent time series regression model with multivariate covariates and univariate observations is considered, for which we develop a procedure to detect whether the nonparametric conditional mean function is stable in time against change point alternatives. Our proposal is based on a modified CUSUM type test procedure, which uses a sequential marked empirical process of residuals. We show weak convergence of the considered process to a centered Gaussian process under the null hypothesis of no change in the mean function and a stationarity assumption. This requires some sophisticated arguments for sequential empirical processes of weakly dependent variables. As a consequence we obtain convergence of Kolmogorov-Smirnov and Cram'er-von Mises type test statistics. The proposed procedure acquires a very simple limiting distribution and nice consistency properties, features from which related tests are lacking. We moreover suggest a bootstrap version of the procedure and discuss its applicability in the case of unstable variances.

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Cited in

(18)

• Two tests for sequential detection of a change-point in a nonlinear model
• Page's sequential procedure for change-point detection in time series regression
• A robust method for shift detection in time series
• Detecting relevant changes in the mean of nonstationary processes -- a mass excess approach
• Change point detection for nonparametric regression under strongly mixing process
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• Detecting relevant changes in time series models
• A consistent nonparametric test for the structure change in quantile regression
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• A Darling-Erdős-type CUSUM-procedure for functional data
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• A weak convergence result for sequential empirical processes under weak dependence
• Testing for change in mean of independent multivariate observations with time varying covariance
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• Testing for a change of the innovation distribution in nonparametric autoregression: the sequential empirical process approach
• The CUSUM test for detecting structural changes in strong mixing processes
• Nonparametric comparison of several transformations of distribution functions

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