Nuisance-parameter-free changepoint detection in non-stationary series
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F20%3A10418295" target="_blank" >RIV/00216208:11320/20:10418295 - isvavai.cz</a>
Result on the web
<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=pmLtB2EOrA" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=pmLtB2EOrA</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s11749-019-00659-1" target="_blank" >10.1007/s11749-019-00659-1</a>
Alternative languages
Result language
angličtina
Original language name
Nuisance-parameter-free changepoint detection in non-stationary series
Original language description
Many changepoint detection procedures rely on the estimation of nuisance parameters (like long-run variance). If a change has occurred, estimators might be biased and data adaptive rules for the choice of tuning parameters might not work as expected. If the data are not stationary, this becomes more challenging. The aim of this paper is to present two changepoint tests, which involve neither nuisance nor tuning parameters. This is achieved by combing self-normalization and wild bootstrap. We investigate the asymptotic behavior and show the consistency of the bootstrap under the hypothesis as well as under the alternative, assuming mild conditions on the weak dependence of the time series. As a by-product, a changepoint estimator is introduced and its consistency is proved. The results are illustrated through a simulation study. The new completely data-driven tests are applied to real data examples from finance and hydrology.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
10103 - Statistics and probability
Result continuities
Project
<a href="/en/project/GJ18-01781Y" target="_blank" >GJ18-01781Y: Dynamic and granular loss reserving with copulae - DaGLoRCo</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)
Others
Publication year
2020
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Test
ISSN
1133-0686
e-ISSN
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Volume of the periodical
29
Issue of the periodical within the volume
2
Country of publishing house
ES - SPAIN
Number of pages
30
Pages from-to
379-408
UT code for WoS article
000530843000007
EID of the result in the Scopus database
2-s2.0-85065332201