Asymptotics for change-point models under varying degrees of mis-specification

DOI10.1214/15-AOS1362zbMATH Open1331.62251arXiv1409.0727WikidataQ36368834 ScholiaQ36368834MaRDI QIDQ5963519FDOQ5963519

Moulinath Banerjee, Rui Song, Michael R. Kosorok

Publication date: 22 February 2016

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: Change-point models are widely used by statisticians to model drastic changes in the pattern of observed data. Least squares/maximum likelihood based estimation of change-points leads to curious asymptotic phenomena. When the change-point model is correctly specified, such estimates generally converge at a fast rate ($n$) and are asymptotically described by minimizers of jump process. Under complete mis-specification by a smooth curve, i.e. when a change-point model is fitted to data described by a smooth curve, the rate of convergence slows down to $n^{1/3}$ and the limit distribution changes to that of the minimizer of a continuous Gaussian process. In this paper we provide a bridge between these two extreme scenarios by studying the limit behavior of change-point estimates under varying degrees of model mis-specification by smooth curves, which can be viewed as local alternatives. We find that the limiting regime depends on how quickly the alternatives approach a change-point model. We unravel a family of `intermediate' limits that can transition, at least qualitatively, to the limits in the two extreme scenarios.

Full work available at URL: https://arxiv.org/abs/1409.0727

zbMATH Keywords

change-pointmodel mis-specification

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Asymptotic distribution theory in statistics (62E20)

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Cited In (10)

• Misspecified and Asymptotically Minimax Robust Quickest Change Diagnosis
• Multiscale change-point segmentation: beyond step functions
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• Inference after estimation of breaks
• Special issue with papers from the ``3rd workshop on goodness-of-fit and change-point problems
• Rate of Convergence of a Change Point Estimator in a Misspecified Regression Model
• Inference on the change point estimator of variance in measurement error models
• Asymptotics for change-point models under varying degrees of mis-specification
• Asymptotic study of the change-point mle in multivariate Gaussian families under contiguous alternatives
• Partial parameter consistency in a misspecified structural change model

Uses Software

• seqCBS
• unbalhaar

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