A distribution free test for changes in the trend function of locally stationary processes

DOI10.1214/21-EJS1871MaRDI QIDQ2233554zbMATH OpenOpenAlexFDO

Authors Florian Heinrichs, Holger Dette

Publication date 11 October 2021

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

Full work available at URL https://arxiv.org/abs/2005.11132, https://projecteuclid.org/journals/electronic-journal-of-statistics/volume-15/issue-2/A-distribution-free-test-for-changes-in-the-trend-function/10.1214/21-EJS1871.full

zbMATH Keywords

nonparametric regressionchange point analysislocal stationary processes

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

Abstract: In the common time series model $X_{i,n}=mu(i/n)+varepsilo{n}_{i,n}$ with non-stationary errors we consider the problem of detecting a significant deviation of the mean function $mu$ from a benchmark $g(mu)$ (such as the initial value $mu(0)$ or the average trend $in{t}_0^{1}mu(t)dt$). The problem is motivated by a more realistic modelling of change point analysis, where one is interested in identifying relevant deviations in a smoothly varying sequence of means $(mu(i/n){)}_{i=1,ldots,n}$ and cannot assume that the sequence is piecewise constant. A test for this type of hypotheses is developed using an appropriate estimator for the integrated squared deviation of the mean function and the threshold. By a new concept of self-normalization adapted to non-stationary processes an asymptotically pivotal test for the hypothesis of a relevant deviation is constructed. The results are illustrated by means of a simulation study and a data example.

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Cited in

(6)

• Detecting relevant changes in the mean of nonstationary processes -- a mass excess approach
• Detecting changes in the trend function of heteroscedastic time series
• Distribution-free three- sample test for detecting trend in the pure location model
• Asymptotic null distributions of stationarity and nonstationarity tests under local-to-finite variance errors
• Are deviations in a gradually varying mean relevant? A testing approach based on sup-norm estimators
• Nonparametric hypothesis of drift function in locally stationary diffusion models

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