Change point analysis of correlation in non-stationary time series

DOI10.5705/SS.202016.0493MaRDI QIDQ5226601zbMATH OpenOpenAlexFDO

Authors Weichi Wu, Zhou Zhou, Holger Dette

Publication date 1 August 2019

Published in STATISTICA SINICA (Search for Journal in Brave)

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

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)

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.

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Cited in

(20)

• 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
• Detecting a Change in the Correlation Coefficient in a Sequence of Bivariate Normal Variables
• 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
• Sensitivity of principal components to system changes in the presence of non-stationarity
• Simultaneous statistical inference for second order parameters of time series under weak conditions
• Asymptotic change-point analysis of the dependencies in time series
• Multiple break detection in the correlation structure of random variables
• Change-point analysis of time series with evolutionary spectra
• Efficient change point detection and estimation in high-dimensional correlation matrices
• Monitoring procedures for strict stationarity based on the multivariate characteristic function
• Autoregressive approximations to nonstationary time series with inference and applications
• Change point analysis of functional variance function with stationary error
• Modified tests for change points in variance in the possible presence of mean breaks
• Functional Estimation and Change Detection for Nonstationary Time Series
• An asymptotic test for constancy of the variance under short-range dependence
• Sequential Gaussian approximation for nonstationary time series in high dimensions
• Multiscale jump testing and estimation under complex temporal dynamics
• Time-correlation analysis of nonstationary time series

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