Consistent nonparametric change point detection combining CUSUM and marked empirical processes

DOI10.1214/20-EJS1715zbMATH Open1476.62190arXiv1901.08491MaRDI QIDQ2188476FDOQ2188476

Natalie Neumeyer, Maria Mohr

Publication date: 11 June 2020

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

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.

Full work available at URL: https://arxiv.org/abs/1901.08491

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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)

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Cited In (5)

• Change point detection for nonparametric regression under strongly mixing process
• Estimating change points in nonparametric time series regression models
• A consistent nonparametric test for the structure change in quantile regression
• A weak convergence result for sequential empirical processes under weak dependence
• Change-point detection for the link function in a single-index model

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