Changepoint in Error-Prone Relations

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F21%3A10434751" target="_blank" >RIV/00216208:11320/21:10434751 - isvavai.cz</a>

Result on the web

<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=nM.7nCZaAu" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=nM.7nCZaAu</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.3390/math9010089" target="_blank" >10.3390/math9010089</a>

Result language

angličtina

Original language name

Changepoint in Error-Prone Relations

Original language description

Linear relations, containing measurement errors in input and output data, are considered. Parameters of these so-called errors-in-variables models can change at some unknown moment. The aim is to test whether such an unknown change has occurred or not. For instance, detecting a change in trend for a randomly spaced time series is a special case of the investigated framework. The designed changepoint tests are shown to be consistent and involve neither nuisance parameters nor tuning constants, which makes the testing procedures effortlessly applicable. A changepoint estimator is also introduced and its consistency is proved. A boundary issue is avoided, meaning that the changepoint can be detected when being close to the extremities of the observation regime. As a theoretical basis for the developed methods, a weak invariance principle for the smallest singular value of the data matrix is provided, assuming weakly dependent and non-stationary errors. The results are presented in a simulation study, which demonstrates computational efficiency of the techniques. The completely data-driven tests are illustrated through problems coming from calibration and insurance; however, the methodology can be applied to other areas such as clinical measurements, dietary assessment, computational psychometrics, or environmental toxicology as manifested in the paper.

Czech name

—

Czech description

—

Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

—

OECD FORD branch

10103 - Statistics and probability

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)

Publication year

2021

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Mathematics [online]

ISSN

2227-7390

e-ISSN

—

Volume of the periodical

9

Issue of the periodical within the volume

1

Country of publishing house

CH - SWITZERLAND

Number of pages

25

Pages from-to

89

UT code for WoS article

000606163600001

EID of the result in the Scopus database

2-s2.0-85099197735