Panel data segmentation under finite time horizon

DOI10.1016/J.JSPI.2015.05.007zbMATH Open1326.62081arXiv1501.00177OpenAlexW1920879871MaRDI QIDQ897629FDOQ897629

Leonid Torgovitski

Publication date: 7 December 2015

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Abstract: We study the nonparametric change point estimation for common changes in the means of panel data. The consistency of estimates is investigated when the number of panels tends to infinity but the sample size remains finite. Our focus is on weighted denoising estimates, involving the group fused LASSO, and on the weighted CUSUM estimates. Due to the fixed sample size, the common weighting schemes do not guarantee consistency under (serial) dependence and most typical weightings do not even provide consistency in the i.i.d. setting when the noise is too dominant. Hence, on the one hand, we propose a consistent covariance-based extension of existing weighting schemes and discuss straightforward estimates of those weighting schemes. The performance will be demonstrated empirically in a simulation study. On the other hand, we derive sharp bounds on the change to noise ratio that ensure consistency in the i.i.d. setting for classical weightings.

Full work available at URL: https://arxiv.org/abs/1501.00177

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zbMATH Keywords

Lassopanel datachange point estimationCUSUMnonparametricsegmentationserial dependencetotal variation denoising

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Ridge regression; shrinkage estimators (Lasso) (62J07) Sequential statistical analysis (62L10)

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Cited In (3)

• Break point detection for functional covariance
• Panel data segmentation under finite time horizon
• Structural breaks in panel data: Large number of panels and short length time series

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