Piecewise quantile autoregressive modeling for nonstationary time series

DOI10.3150/14-BEJ671MaRDI QIDQ502853zbMATH OpenOpenAlexFDO

Authors Rex C. Y. Cheung, Thomas C. M. Lee, Ming Zhong, Alexander Aue

Publication date 11 January 2017

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1609.08882, https://projecteuclid.org/euclid.bj/1475001346

zbMATH Keywords

structural breakgenetic algorithmchange-pointminimum description length principlenonstationary time seriesautoregressive time series

Mathematics Subject Classification ID

Linear inference, regression (62J99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: We develop a new methodology for the fitting of nonstationary time series that exhibit nonlinearity, asymmetry, local persistence and changes in location scale and shape of the underlying distribution. In order to achieve this goal, we perform model selection in the class of piecewise stationary quantile autoregressive processes. The best model is defined in terms of minimizing a minimum description length criterion derived from an asymmetric Laplace likelihood. Its practical minimization is done with the use of genetic algorithms. If the data generating process follows indeed a piecewise quantile autoregression structure, we show that our method is consistent for estimating the break points and the autoregressive parameters. Empirical work suggests that the proposed method performs well in finite samples.

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