Online Change-point Detection for Matrix-valued Time Series with Latent Two-way Factor Structure
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Publication:73565
DOI10.48550/ARXIV.2112.13479arXiv2112.13479MaRDI QIDQ73565FDOQ73565
Lorenzo Trapani, Yong He, Long Yu, Xin-Bing Kong
Publication date: 27 December 2021
Abstract: This paper proposes a novel methodology for the online detection of changepoints in the factor structure of large matrix time series. Our approach is based on the well-known fact that, in the presence of a changepoint, a factor model can be rewritten as a model with a larger number of common factors. In turn, this entails that, in the presence of a changepoint, the number of spiked eigenvalues in the second moment matrix of the data increases. Based on this, we propose two families of procedures - one based on the fluctuations of partial sums, and one based on extreme value theory - to monitor whether the first non-spiked eigenvalue diverges after a point in time in the monitoring horizon, thereby indicating the presence of a changepoint. Our procedure is based only on rates; at each point in time, we randomise the estimated eigenvalue, thus obtaining a normally distributed sequence which is with mean zero under the null of no break, whereas it diverges to positive infinity in the presence of a changepoint. We base our monitoring procedures on such sequence. Extensive simulation studies and empirical analysis justify the theory.
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