Change-point detection in autoregressive models with no moment assumptions

DOI10.1111/JTSA.12405MaRDI QIDQ4684339zbMATH OpenOpenAlexWikidataFDO

Authors Fumiya Akashi, Yan Liu, Holger Dette

Publication date 28 September 2018

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

Full work available at URL https://arxiv.org/abs/1612.01520

zbMATH Keywords

autoregressive processeschange-point analysisempirical likelihoodinfinite variance

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Nonparametric robustness (62G35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: In this paper we consider the problem of detecting a change in the parameters of an autoregressive process, where the moments of the innovation process do not necessarily exist. An empirical likelihood ratio test for the existence of a change point is proposed and its asymptotic properties are studied. In contrast to other work on change point tests using empirical likelihood, we do not assume knowledge of the location of the change point. In particular, we prove that the maximizer of the empirical likelihood is a consistent estimator for the parameters of the autoregressive model in the case of no change point and derive the limiting distribution of the corresponding test statistic under the null hypothesis. We also establish consistency of the new test. A nice feature of the method consists in the fact that the resulting test is asymptotically distribution free and does not require an estimate of the long run variance. The asymptotic properties of the test are investigated by means of a small simulation study, which demonstrates good finite sample properties of the proposed method.

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(9)

• Adaptive quantile computation for Brownian bridge in change-point analysis
• Autocovariance estimation in the presence of changepoints
• Empirical likelihood for change point detection in autoregressive models
• Change detection in autoregressive time series
• scientific article; zbMATH DE number 5926363 (Why is no real title available?)
• Empirical likelihood for break detection in time series
• Maximum likelihood estimation of the change point in stationary state of auto regressive moving average (ARMA) models, using SVD-based smoothing
• Change Point Detection with Stable AR(1) Errors
• Robust inference theory for non-regular time series models and its extensions

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