State-domain Change Point Detection for Nonlinear Time Series Regression

DOI10.1016/J.JECONOM.2021.11.007MaRDI QIDQ6317727arXivFDO

Authors Yan Cui, Jun Yang, Zhou Zhou

Publication date 24 April 2019

Published in arXiv

Full work available at URL https://doi.org/10.1016/J.JECONOM.2021.11.007

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

arXiv classification

eess.SP math.ST stat.ME stat.TH

Abstract: Change point detection in time series has attracted substantial interest, but most of the existing results have been focused on detecting change points in the time domain. This paper considers the situation where nonlinear time series have potential change points in the state domain. We apply a density-weighted anti-symmetric kernel function to the state domain and therefore propose a nonparametric procedure to test the existence of change points. When the existence of change points is affirmative, we further introduce an algorithm to estimate the number of change points together with their locations. Theoretical results of the proposed detection and estimation procedures are given and a real dataset is used to illustrate our methods.

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