Detecting changes in functional linear models

DOI10.1016/J.JMVA.2012.04.007zbMATH Open1259.62046arXiv1105.0015OpenAlexW2056766808MaRDI QIDQ444989FDOQ444989

Authors: Ron Reeder, Lajos Horváth 

Publication date: 24 August 2012

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Abstract: We observe two sequences of curve which are connected via an integral operator. Our model includes linear models as well as autoregressive models in Hilbert spaces. We wish to test the null hypothesis that the operator did not change during the observation period. Our method is based on projecting the observations onto a suitably chosen finite dimensional space. The testing procedure is based on functionals of the weighted residuals of the projections. Since the quadratic form is based on estimating the long-term covariance matrix of the residuals, we also provide some results on Bartlett-type estimators.

Full work available at URL: https://arxiv.org/abs/1105.0015

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zbMATH Keywords

functional dataprojectionsweak dependencechange pointsweak convergence

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Applications of operator theory in probability theory and statistics (47N30)

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• Trimmed stable AR(1) processes
• Statistical inference for the slope parameter in functional linear regression
• A partitioned single functional index model
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• A partial overview of the theory of statistics with functional data
• Functional Principal Component Regression and Functional Partial Least‐squares Regression: An Overview and a Comparative Study

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