Changepoint in Error-Prone Relations

Kód výsledku v 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>

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Changepoint in Error-Prone Relations

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Changepoint in Error-Prone Relations

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

10103 - Statistics and probability

Projekt

<a href="/cs/project/GJ18-01781Y" target="_blank" >GJ18-01781Y: Dynamické a granulární rezervování škod s využitím kopulí - DaGLoRCo</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2021

Kód důvěrnosti údajů

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

Název periodika

Mathematics [online]

ISSN

2227-7390

e-ISSN

—

Svazek periodika

9

Číslo periodika v rámci svazku

1

Stát vydavatele periodika

CH - Švýcarská konfederace

Počet stran výsledku

25

Strana od-do

89

Kód UT WoS článku

000606163600001

EID výsledku v databázi Scopus

2-s2.0-85099197735