Change-point detection in a linear model by adaptive fused quantile method

DOI10.1111/SJOS.12412MaRDI QIDQ5118465zbMATH OpenOpenAlexWikidataFDO

Authors Gabriela Ciuperca, Matúš Maciak

Publication date 8 September 2020

Published in Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1901.09607

zbMATH Keywords

change-point detectionestimationconvergence rateconditional quantilesadaptive fused penalty

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Nonparametric hypothesis testing (62G10)

Abstract: A novel approach to quantile estimation in multivariate linear regression models with change-points is proposed: the change-point detection and the model estimation are both performed automatically, by adopting either the quantile fused penalty or the adaptive version of the quantile fused penalty. These two methods combine the idea of the check function used for the quantile estimation and the $L_1$ penalization principle known from the signal processing and, unlike some standard approaches, the presented methods go beyond typical assumptions usually required for the model errors, such as sub-Gaussian or Normal distribution. They can effectively handle heavy-tailed random error distributions, and, in general, they offer a more complex view on the data as one can obtain any conditional quantile of the target distribution, not just the conditional mean. The consistency of detection is proved and proper convergence rates for the parameter estimates are derived. The empirical performance is investigated via an extensive comparative simulation study and practical utilization is demonstrated using a real data example.

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