Asymptotic Change-Point Analysis of the Dependencies in Time Series

Christoph Heuser
ISBN 978-3-8325-4314-3
197 Seiten, Erscheinungsjahr: 2016
Preis: 43.00 EUR

Inhaltsverzeichnis (PDF)

Stichworte/keywords: Change-Point Analysis, A-posteriori Analysis, Sequenzielle Testprozeduren, Long-Run Varianz Schätzung, Change-Point Schätzung

In recent papers, Wied and his coauthors have introduced change-point procedures to detect and estimate structural breaks in the correlation between time series. To prove the asymptotic distribution of the test statistic and stopping time as well as the change-point estimation rate, they use an extended functional Delta method and assume nearly constant expectations and variances of the time series. In this thesis, we allow asymptotically infinitely many structural breaks in the means and variances of the time series.

For this setting, we present test statistics and stopping times which are used to determine whether or not the correlation between two time series is and stays constant, respectively. Additionally, we consider estimates for change-points in the correlations. The employed nonparametric statistics depend on the means and variances. These (nuisance) parameters are replaced by estimates in the course of this thesis. We avoid assuming a fixed form of these estimates but rather we use 'blackbox' estimates, i.e. we derive results under assumptions that these estimates fulfill. These results are supplement with examples.

This thesis is organized in seven sections. In Section 1, we motivate the issue and present the mathematical model. In Section 2, we consider a posteriori and sequential testing procedures, and investigate convergence rates for change-point estimation, always assuming that the means and the variances of the time series are known. In the following sections, the assumptions of known means and variances are relaxed. In Section 3, we present the assumptions for the mean and variance estimates that we will use for the mean in Section 4, for the variance in Section 5, and for both parameters in Section 6. Finally, in Section 7, a simulation study illustrates the finite sample behaviors of some testing procedures and estimates.


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