Detecting relevant changes in time series models
From MaRDI portal
Publication:5378358
Abstract: Most of the literature on change-point analysis by means of hypothesis testing considers hypotheses of the form H0 : heta_1 = heta_2 vs. H1 : heta_1 != heta_2, where heta_1 and heta_2 denote parameters of the process before and after a change point. This paper takes a different perspective and investigates the null hypotheses of no relevant changes, i.e. H0 : || heta_1 - heta_2|| ? leq Delta?, where || cdot || is an appropriate norm. This formulation of the testing problem is motivated by the fact that in many applications a modification of the statistical analysis might not be necessary, if the difference between the parameters before and after the change-point is small. A general approach to problems of this type is developed which is based on the CUSUM principle. For the asymptotic analysis weak convergence of the sequential empirical process has to be established under the alternative of non-stationarity, and it is shown that the resulting test statistic is asymptotically normal distributed. Several applications of the methodology are given including tests for relevant changes in the mean, variance, parameter in a linear regression model and distribution function among others. The finite sample properties of the new tests are investigated by means of a simulation study and illustrated by analyzing a data example from economics.
Recommendations
- Relevant change points in high dimensional time series
- Testing and estimating change-points in time series
- Tests for parameter changes in time series
- Detecting relevant changes in the mean of nonstationary processes -- a mass excess approach
- Consistent nonparametric change point detection combining CUSUM and marked empirical processes
Cited in
(23)- Strong consistency for the conditional self-weighted \(M\) estimator of GRCA\((p)\) Models
- Change detection in autoregressive time series
- Monitoring mean changes in persistent multivariate time series
- Detecting structural breaks in eigensystems of functional time series
- A portmanteau-type test for detecting serial correlation in locally stationary functional time series
- Box-constrained monotone approximations to Lipschitz regularizations, with applications to robust testing
- Time-based detection of changes to multivariate patterns
- Nonparametric Anomaly Detection on Time Series of Graphs
- Functional data analysis in the Banach space of continuous functions
- Testing for randomness in a random coefficient autoregression model
- Efficient change point detection and estimation in high-dimensional correlation matrices
- Change point analysis of correlation in non-stationary time series
- Detecting relevant changes in the mean of nonstationary processes -- a mass excess approach
- Detecting relevant changes in the spatiotemporal mean function
- Does modeling a structural break improve forecast accuracy?
- A computationally efficient nonparametric approach for changepoint detection
- Beyond Linear Dynamic Functional Connectivity: A Vine Copula Change Point Model
- Multiscale jump testing and estimation under complex temporal dynamics
- Dynamic Semiparametric Factor Model With Structural Breaks
- A likelihood ratio approach to sequential change point detection for a general class of parameters
- Relevant change points in high dimensional time series
- Mean stationarity test in time series: a signal variance-based approach
- Estimating a Change Point in a Sequence of Very High-Dimensional Covariance Matrices
This page was built for publication: Detecting relevant changes in time series models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5378358)
