A robust approach for estimating change-points in the mean of an AR(1) process

DOI10.3150/15-BEJ782zbMATH Open1378.62059arXiv1403.1958MaRDI QIDQ520705FDOQ520705

Céline Lévy-Leduc, Stéphane Robin, S. Chakar, Emilie Lebarbier

Publication date: 5 April 2017

Published in: Bernoulli (Search for Journal in Brave)

Abstract: We consider the problem of multiple change-point estimation in the mean of a Gaussian AR(1) process. Taking into account the dependence structure does not allow us to use the dynamic programming algorithm, which is the only algorithm giving the optimal solution in the independent case. We propose a robust estimator of the autocorrelation parameter, which is consistent and satisfies a central limit theorem. Then, we propose to follow the classical inference approach, by plugging this estimator in the criteria used for change-points estimation. We show that the asymptotic properties of these estimators are the same as those of the classical estimators in the independent framework. The same plug-in approach is then used to approximate the modified BIC and choose the number of segments. This method is implemented in the R package AR1seg and is available from the Comprehensive R Archive Network (CRAN). This package is used in the simulation section in which we show that for finite sample sizes taking into account the dependence structure improves the statistical performance of the change-point estimators and of the selection criterion.

Full work available at URL: https://arxiv.org/abs/1403.1958

zbMATH Keywords

model selectiontime serieschange-pointsautoregressive modelrobust estimation of the \(\mathrm{AR}(1)\) parameter

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35)

Cited In (16)

• Robust algorithms for multiphase regression models
• On optimal segmentation and parameter tuning for multiple change-point detection and inference
• Changepoint detection in non-exchangeable data
• Autocovariance estimation in the presence of changepoints
• A comparison of single and multiple changepoint techniques for time series data
• Short communication: Detecting possibly frequent change-points: wild binary segmentation 2 and steepest-drop model selection
• Estimation and inference of time-varying auto-covariance under complex trend: a difference-based approach
• Multiple change point detection and validation in autoregressive time series data
• Robust multiscale estimation of time-average variance for time series segmentation
• Detecting Abrupt Changes in the Presence of Local Fluctuations and Autocorrelated Noise
• Inference for mean change-point in infinite variance \(AR(p)\) process
• A breakpoint detection in the mean model with heterogeneous variance on fixed time intervals
• Change Point Detection with Stable AR(1) Errors
• Detecting changes in mean in the presence of time-varying autocovariance
• A constant-per-iteration likelihood ratio test for online changepoint detection for exponential family models
• Bump detection in the presence of dependency: does it ease or does it load?

Uses Software

• R
• CRAN
• AR1seg

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