Change point analysis of correlation in non-stationary time series

DOI10.5705/SS.202016.0493zbMATH Open1433.62257arXiv1801.10478OpenAlexW2963321683MaRDI QIDQ5226601FDOQ5226601

Authors: Weichi Wu, Zhou Zhou, Holger Dette 

Publication date: 1 August 2019

Published in: STATISTICA SINICA (Search for Journal in Brave)

Abstract: A restrictive assumption in change point analysis is "stationarity under the null hypothesis of no change-point", which is crucial for asymptotic theory but not very realistic from a practical point of view. For example, if change point analysis for correlations is performed, it is not necessarily clear that the mean, marginal variance or higher order moments are constant, even if there is no change in the correlation. This paper develops change point analysis for the correlation structures under less restrictive assumptions. In contrast to previous work, our approach does not require that the mean, variance and fourth order joint cumulants are constant under the null hypothesis. Moreover, we also address the problem of detecting relevant change points.

Full work available at URL: https://arxiv.org/abs/1801.10478

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zbMATH Keywords

local linear estimationchange point analysissecond order structurerelevant change pointspiecewise locally stationary process

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Measures of association (correlation, canonical correlation, etc.) (62H20) Stationary stochastic processes (60G10)

Cited In (19)

• Modified tests for change points in variance in the possible presence of mean breaks
• Functional Estimation and Change Detection for Nonstationary Time Series
• Multiscale jump testing and estimation under complex temporal dynamics
• Bootstrap procedures for variance breaks test in time series with a changing trend
• Functional weak limit theorem for a local empirical process of non-stationary time series and its application
• A distribution free test for changes in the trend function of locally stationary processes
• Estimation and inference of time-varying auto-covariance under complex trend: a difference-based approach
• Detecting a Change in the Correlation Coefficient in a Sequence of Bivariate Normal Variables
• Change-point analysis of time series with evolutionary spectra
• Sequential Gaussian approximation for nonstationary time series in high dimensions
• Asymptotic change-point analysis of the dependencies in time series
• Efficient change point detection and estimation in high-dimensional correlation matrices
• Simultaneous statistical inference for second order parameters of time series under weak conditions
• Time-correlation analysis of nonstationary time series
• Autoregressive approximations to nonstationary time series with inference and applications
• An asymptotic test for constancy of the variance under short-range dependence
• Monitoring procedures for strict stationarity based on the multivariate characteristic function
• Change point analysis of functional variance function with stationary error
• Multiple break detection in the correlation structure of random variables

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