Bootstrapping confidence intervals for the change-point of time series

DOI10.1111/J.1467-9892.2008.00589.XzbMATH Open1194.62063arXiv0706.1485OpenAlexW3122040517MaRDI QIDQ3552859FDOQ3552859

Marie Hušková, Claudia Kirch

Publication date: 22 April 2010

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Abstract: We study an AMOC time series model with an abrupt change in the mean and dependent errors that fulfill certain mixing conditions. We obtain confidence intervals for the unknown change-point via bootstrapping methods. Precisely we use a block bootstrap of the estimated centered error sequence. Then we reconstruct a sequence with a change in the mean using the same estimators as before. The difference between the change-point estimator of the resampled sequence and the one for the original sequence can be use as an approximation of the difference between the real change-point and its estimator. This enables us to construct confidence intervals using the empirical distribution of the resampled time series. A simulation study shows that the resampled confidence intervals are usually closer to their target levels and at the same time smaller than the asymptotic intervals.

Full work available at URL: https://arxiv.org/abs/0706.1485

zbMATH Keywords

confidence intervalsblock bootstrapmixingchange in mean

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Nonparametric statistical resampling methods (62G09) Nonparametric tolerance and confidence regions (62G15)

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Cited In (26)

• Confidence intervals for annual wind power production
• BOOTSTRAP INFERENCE FOR MULTIPLE CHANGE-POINTS IN TIME SERIES
• A comparison of single and multiple changepoint techniques for time series data
• Comments on: ``Extensions of some classical methods in change point analysis
• Evaluating stationarity via change-point alternatives with applications to fMRI data
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• A piecewise polynomial trend against long range dependence
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• Comments on: ``Extensions of some classical methods in change point analysis
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• More accurate, calibrated bootstrap confidence intervals for estimating the correlation between two time series
• On distinguishing multiple changes in mean and long-range dependence using local Whittle estimation
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• Exact posterior distributions and model selection criteria for multiple change-point detection problems
• Testing and dating structural changes in copula-based dependence measures
• Fast estimation of posterior probabilities in change-point analysis through a constrained hidden Markov model
• Comparing change-point location in independent series

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