Related papers: Change-Point Testing for Risk Measures in Time Ser…
We study offline change-point estimation for time series data exhibiting nonlinear serial dependence. To address this problem, we propose a copula-based Markov chain model with Weibull marginal distributions, which is suitable for modeling…
The absence of time-reversal symmetry is a fundamental property of many nonlinear time series. Here, we propose a new set of statistical tests for time series irreversibility based on standard and horizontal visibility graphs. Specifically,…
This paper proposes the cross-quantilogram to measure the quantile dependence between two time series. We apply it to test the hypothesis that one time series has no directional predictability to another time series. We establish the…
In standardized educational testing, test items are reused in multiple test administrations. To ensure the validity of test scores, the psychometric properties of items should remain unchanged over time. In this paper, we consider the…
This article considers change point testing and estimation for a sequence of high-dimensional data. In the case of testing for a mean shift for high-dimensional independent data, we propose a new test which is based on $U$-statistic in Chen…
This article studies tail behavior for the error components in the stochastic frontier model, where one component has bounded support on one side, and the other has unbounded support on both sides. Under weak assumptions on the error…
We investigate the online detection of changepoints in the distribution of a sequence of observations using degenerate U-statistic-type processes. We study weighted versions of: an ordinary, CUSUM-type scheme, a Page-CUSUM-type scheme, and…
Change-point analysis is a flexible and computationally tractable tool for the analysis of times series data from systems that transition between discrete states and whose observables are corrupted by noise. The change-point algorithm is…
This paper introduces a novel methodology that utilizes latency to unveil time-series dependence patterns. A customized statistical test detects memory dependence in event sequences by analyzing their inter-event time distributions.…
Suppose a process yields independent observations whose distributions belong to a family parameterized by \theta\in\Theta. When the process is in control, the observations are i.i.d. with a known parameter value \theta_0. When the process…
In this paper it is reconsidered the prediction problem in time series framework by using a new non-parametric approach. Through this reconsideration, the prediction is obtained by a weighted sum of past observed data. These weights are…
We consider the change point testing problem for high-dimensional time series. Unlike conventional approaches, where one tests whether the difference $\delta$ of the mean vectors before and after the change point is equal to zero, we argue…
This study aims to evaluate the performance of power in the likelihood ratio test for changepoint detection by bootstrap sampling, and proposes a hypothesis test based on bootstrapped confidence interval lengths. Assuming i.i.d normally…
Change-points in time series data are usually defined as the time instants at which changes in their properties occur. Detecting change-points is critical in a number of applications as diverse as detecting credit card and insurance frauds,…
We address the problem that classical risk measures may not detect the tail risk adequately. This can occur for instance due to averaging when calculating the Expected Shortfall. The current literature proposes the so-called adjusted…
Change point detection (CPD) aims to locate abrupt property changes in time series data. Recent CPD methods demonstrated the potential of using deep learning techniques, but often lack the ability to identify more subtle changes in the…
Time series, as frequently the case in neuroscience, are rarely stationary, but often exhibit abrupt changes due to attractor transitions or bifurcations in the dynamical systems producing them. A plethora of methods for detecting such…
We propose a novel family of test statistics to detect the presence of changepoints in a sequence of dependent, possibly multivariate, functional-valued observations. Our approach allows to test for a very general class of changepoints,…
We study the problem of detecting and localizing multiple changes in the mean parameter of a Banach space-valued time series. The goal is to construct a collection of narrow confidence intervals, each containing at least one (or exactly…
Change-point processes are one flexible approach to model long time series. We propose a method to uncover which model parameter truly vary when a change-point is detected. Given a set of breakpoints, we use a penalized likelihood approach…