Related papers: Self-Normalization for CUSUM-based Change Detectio…
We propose a new asymptotic test to assess the stationarity of a time series' mean that is applicable in the presence of both heteroscedasticity and short-range dependence. Our test statistic is composed of Gini's mean difference of local…
Fractional Brownian motion (FBM) is the only Gaussian self-similar process with stationary increments. Its increment process, called fractional Gaussian noise, is ergodic and exhibits a property of power-like decaying autocorrelation…
Change point detection in covariance structures is a fundamental and crucial problem for sequential data. Under the high-dimensional setting, most of the existing research has focused on identifying change points in historical data.…
In the common time series model $X_{i,n} = \mu (i/n) + \varepsilon_{i,n}$ with non-stationary errors we consider the problem of detecting a significant deviation of the mean function $\mu$ from a benchmark $g (\mu )$ (such as the initial…
We revisit classical asymptotics when testing for a structural break in linear regression models by obtaining the limit theory of residual-based and Wald-type processes. First, we establish the Brownian bridge limiting distribution of these…
In a variety of different settings cumulative sum (CUSUM) procedures have been applied for the sequential detection of structural breaks in the parameters of stochastic models. Yet their performance depends strongly on the time of change…
This paper deals with the comparison of several stationary processes with unequal sample sizes. We provide a detailed theoretical framework on the testing problem for equality of spectral densities in the bivariate case, after which the…
Change point detection in high dimensional data has found considerable interest in recent years. Most of the literature either designs methodology for a retrospective analysis, where the whole sample is already available when the…
Time series segmentation, a.k.a. multiple change-point detection, is a well-established problem. However, few solutions are designed specifically for high-dimensional situations. In this paper, our interest is in segmenting the second-order…
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 report compares two tests of second-order stationarity through simulation. It also provides several examples of localised autocovariances and their approximate confidence intervals on different real and simulated data sets. An…
Multivariate locally stationary functional time series provide a flexible framework for modeling complex data structures exhibiting both temporal and spatial dependencies while allowing for time-varying data generating mechanism. In this…
This paper deals with two-sample tests for functional time series data, which have become widely available in conjunction with the advent of modern complex observation systems. Here, particular interest is in evaluating whether two sets of…
In this paper, we study change-point testing for high-dimensional linear models, an important problem that has not been well explored in the literature. Specifically, we propose a quadratic-form cumulative sum (CUSUM) statistic to test the…
In this paper we present some new asymptotic results for high frequency statistics of Brownian semi-stationary processes. More precisely, we will show that singularities in the weight function, which is one of the ingredients of a BSS…
In this paper, we investigate time-varying nonlinear time series regression for a broad class of locally stationary time series. First, we propose sieve nonparametric estimators for the time-varying regression functions that achieve uniform…
We develop a testing procedure for distinguishing between a long-range dependent time series and a weakly dependent time series with change-points in the mean. In the simplest case, under the null hypothesis the time series is weakly…
We study statistical inferences for a class of modulated stationary processes with time-dependent variances. Due to non-stationarity and the large number of unknown parameters, existing methods for stationary, or locally stationary, time…
Detecting abrupt changes in the mean of a time series, so-called changepoints, is important for many applications. However, many procedures rely on the estimation of nuisance parameters (like long-run variance). Under the alternative (a…
We study the parametric online changepoint detection problem, where the underlying distribution of the streaming data changes from a known distribution to an alternative that is of a known parametric form but with unknown parameters. We…