Piecewise quantile autoregressive modeling for nonstationary time series

DOI10.3150/14-BEJ671zbMATH Open1378.62056arXiv1609.08882OpenAlexW3100204771MaRDI QIDQ502853FDOQ502853

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)

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.

Full work available at URL: https://arxiv.org/abs/1609.08882

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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)

Cited In (10)

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• Consistency of minimum description length model selection for piecewise stationary time series models
• Multiscale Quantile Segmentation
• Structural break detection in financial durations
• Sequential monitoring of high‐dimensional time series
• Break detection for a class of nonlinear time series models
• Quantile forecasting and data-driven inventory management under nonstationary demand
• Segmented model selection in quantile regression using the minimum description length principle
• Structural Break Estimation for Nonstationary Time Series Models
• Dynamic adaptive partitioning for nonlinear time series

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