Detection of Multiple Structural Breaks in Multivariate Time Series

DOI10.1080/01621459.2014.920613zbMATH Open1373.62454arXiv1309.1309OpenAlexW2118607090MaRDI QIDQ5367389FDOQ5367389

Authors: Ruprecht Puchstein, Philip Preuss, Holger Dette 

Publication date: 13 October 2017

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Abstract: We propose a new nonparametric procedure for the detection and estimation of multiple structural breaks in the autocovariance function of a multivariate (second- order) piecewise stationary process, which also identifies the components of the series where the breaks occur. The new method is based on a comparison of the estimated spectral distribution on different segments of the observed time series and consists of three steps: it starts with a consistent test, which allows to prove the existence of structural breaks at a controlled type I error. Secondly, it estimates sets containing possible break points and finally these sets are reduced to identify the relevant structural breaks and corresponding components which are responsible for the changes in the autocovariance structure. In contrast to all other methods which have been proposed in the literature, our approach does not make any parametric assumptions, is not especially designed for detecting one single change point and addresses the problem of multiple structural breaks in the autocovariance function directly with no use of the binary segmentation algorithm. We prove that the new procedure detects all components and the corresponding locations where structural breaks occur with probability converging to one as the sample size increases and provide data-driven rules for the selection of all regularization parameters. The results are illustrated by analyzing financial returns, and in a simulation study it is demonstrated that the new procedure outperforms the currently available nonparametric methods for detecting breaks in the dependency structure of multivariate time series.

Full work available at URL: https://arxiv.org/abs/1309.1309

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zbMATH Keywords

empirical processmultivariate time seriesCUSUM testnonparametric procedurenonparametric spectral estimates

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

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