Abstract: Consider dependent change point tests, each based on a CUSUM-statistic. We provide an asymptotic theory that allows us to deal with the maximum over all test statistics as both the sample size and tend to infinity. We achieve this either by a consistent bootstrap or an appropriate limit distribution. This allows for the construction of simultaneous confidence bands for dependent change point tests, and explicitly allows us to determine the location of the change both in time and coordinates in high-dimensional time series. If the underlying data has sample size greater or equal for each test, our conditions explicitly allow for the large small situation, that is, where . The setup for the high-dimensional time series is based on a general weak dependence concept. The conditions are very flexible and include many popular multivariate linear and nonlinear models from the literature, such as ARMA, GARCH and related models. The construction of the tests is completely nonparametric, difficulties associated with parametric model selection, model fitting and parameter estimation are avoided. Among other things, the limit distribution for is established, where denotes a sequence of dependent Brownian motions. As an application, we analyze all S&P 500 companies over a period of one year.
Recommendations
- Relevant change points in high dimensional time series
- Testing and estimating change-points in the covariance matrix of a high-dimensional time series
- Inference of Breakpoints in High-dimensional Time Series
- On high-dimensional change point problem
- Inference for change points in high-dimensional data via selfnormalization
Cites work
- scientific article; zbMATH DE number 5604036 (Why is no real title available?)
- scientific article; zbMATH DE number 1324089 (Why is no real title available?)
- scientific article; zbMATH DE number 1048663 (Why is no real title available?)
- scientific article; zbMATH DE number 272681 (Why is no real title available?)
- A central limit theorem for stationary random fields
- A limit theorem for the maximum of normalized sums of independent random variables
- A two-sample test for high-dimensional data with applications to gene-set testing
- Asymptotic results for the empirical process of stationary sequences
- Asymptotic spectral theory for nonlinear time series
- Asymptotic theory for maximum deviations of sample covariance matrix estimates
- Berry-Esseen bounds for econometric time series
- Block permutation principles for the change analysis of dependent data
- Break detection in the covariance structure of multivariate time series models
- Change-point analysis in increasing dimension
- Change-point detection in multichannel and distributed systems
- Change-point detection in panel data
- Covariance and precision matrix estimation for high-dimensional time series
- Darling-Erdős theorem for self-normalized sums
- Detection and localization of change-points in high-dimensional network traffic data
- Donsker's theorem for self-normalized partial sums processes
- Extremes and related properties of random sequences and processes
- Fractionally integrated generalized autoregressive conditional heteroskedasticity
- Infinite-dimensional VARs and factor models
- Limiting laws of coherence of random matrices with applications to testing covariance structure and construction of compressed sensing matrices
- Modelling structural breaks, long memory and stock market volatility: an overview
- Multiscale local change point detection with applications to value-at-risk
- Non-strong mixing autoregressive processes
- Nonlinear system theory: Another look at dependence
- Nonlinear time series. Nonparametric and parametric methods
- Nonmonotonic power for tests of a mean shift in a time series§
- On extreme values in stationary sequences
- On the rate of convergence of normal extremes
- Permutation tests in change point analysis
- Resampling methods for dependent data
- SLEX Analysis of Multivariate Nonstationary Time Series
- Sequential multi-sensor change-point detection
- Simultaneous confidence bands for Yule-Walker estimators and order selection
- Strict stationarity of generalized autoregressive processes
- Structural breaks in time series
- Structural breaks with deterministic and stochastic trends
- Testing for change points in time series
- Testing for changes in the covariance structure of linear processes
- Testing the equality of covariance operators in functional samples
- The asymptotic distributions of the largest entries of sample correlation matrices.
- Time series: theory and methods.
- Uniform change point tests in high dimension
- Weakly dependent functional data
Cited in
(66)- Dynamic Semiparametric Factor Model With Structural Breaks
- Estimating a Change Point in a Sequence of Very High-Dimensional Covariance Matrices
- Monitoring Network Changes in Social Media
- Dating the break in high-dimensional data
- Change-point detection in high-dimensional covariance structure
- Efficient multiple change point detection for high‐dimensional generalized linear models
- Detecting structural breaks in realized volatility
- Adaptive Inference for Change Points in High-Dimensional Data
- Asymptotic distribution-free change-point detection for multivariate and non-Euclidean data
- Relevant change points in high dimensional time series
- Group orthogonal greedy algorithm for change-point estimation of multivariate time series
- Adaptive Change Point Monitoring for High-Dimensional Data
- Inference for change points in high-dimensional data via selfnormalization
- A robust bootstrap change point test for high-dimensional location parameter
- Change point detection via feedforward neural networks with theoretical guarantees
- High dimensional change point estimation via sparse projection
- Sequential nonparametric tests for a change in distribution: an application to detecting radiological anomalies
- Change-point testing for parallel data sets with FDR control
- A likelihood ratio approach to sequential change point detection for a general class of parameters
- A computationally efficient and flexible algorithm for high dimensional mean and covariance matrix change point models
- Inference in High-Dimensional Online Changepoint Detection
- Generalized multiple change-point detection in the structure of multivariate, possibly high-dimensional, data sequences
- Practical aspects of false alarm control for change point detection: beyond average run length
- Univariate mean change point detection: penalization, CUSUM and optimality
- Fréchet change-point detection
- Mean-Structure and Autocorrelation Consistent Covariance Matrix Estimation
- Detection of multiple change-points in high-dimensional panel data with cross-sectional and temporal dependence
- Detecting Changes in Covariance via Random Matrix Theory
- Robust inference for change points in high dimension
- An empirical-characteristic-function-based change-point test for detection of multiple distributional changes
- Activation discovery with FDR control: application to fMRI data
- On high-dimensional change point problem
- High dimensional efficiency with applications to change point tests
- Monitoring for a change point in a sequence of distributions
- Scalable change-point and anomaly detection in cross-correlated data with an application to condition monitoring
- Sequential change point detection in high dimensional time series
- Minimax rates in sparse, high-dimensional change point detection
- A novel change-point approach for the detection of gas emission sources using remotely contained concentration data
- Change-point inference for high-dimensional heteroscedastic data
- Collective Anomaly Detection in High-Dimensional Var Models
- Change point detection for high dimensional data via kernel measure with application to human aging brain data
- Detection of Multiple Structural Breaks in Large Covariance Matrices
- Detection and estimation of structural breaks in high-dimensional functional time series
- Frequency Detection and Change Point Estimation for Time Series of Complex Oscillation
- On change-point estimation under Sobolev sparsity
- Sequential Gaussian approximation for nonstationary time series in high dimensions
- Inference on the change point under a high dimensional sparse mean shift
- High-dimensional changepoint detection via a geometrically inspired mapping
- Efficient change point detection and estimation in high-dimensional correlation matrices
- Change-detection-assisted multiple testing for spatiotemporal data
- Change-point detection in panel data via double CUSUM statistic
- Optimal covariance change point localization in high dimensions
- Inference of Breakpoints in High-dimensional Time Series
- High dimensional change point inference: recent developments and extensions
- Estimation of high-dimensional change-points under a group sparsity structure
- Nonparametric multiple change-point estimation for analyzing large Hi-C data matrices
- Multiple change-points detection in high dimension
- Anomaly detection: a functional analysis perspective
- Uniform change point tests in high dimension
- Simultaneous multiple change-point and factor analysis for high-dimensional time series
- Data-driven selection of the number of change-points via error rate control
- Joint estimation of gradual variance changepoint for panel data with common structures
- Structural breaks in panel data: large number of panels and short length time series
- Optimal multiple change-point detection for high-dimensional data
- A new hybrid approach to panel data change point detection
- \(\ell^2\) inference for change points in high-dimensional time series via a two-way MOSUM
This page was built for publication: Uniform change point tests in high dimension
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q892243)
