Change-point analysis in increasing dimension

Johannes Moritz Jirak

doi:10.1016/j.jmva.2012.05.007

Change-point analysis in increasing dimension

Johannes Moritz Jirak

Institute of Statistics (5060)

Research output: Contribution to journal › Article › peer-review

Abstract

Let {Yk, k ∈ Z} be a d-dimensional stationary process, and g(d) = (g1(Y1, . . . Yn), . . . ,
gd(Y1, . . . Yn))t be a collection of estimators for some parameter Ψ (d) ∈ Rd. Based on the
weighted CUSUM process, we discuss several procedures to detect possible changes in Ψ (d),
where we explicitly allow d = dn to increase with the sample size n. It is demonstrated
that an increase in dn (as n increases) may both lead to a loss or gain in power for testing
procedures

Original language	English
Pages (from-to)	136-159
Journal	Journal of Multivariate Analysis
Volume	111
DOIs	https://doi.org/10.1016/j.jmva.2012.05.007
Publication status	Published - 2012

Fields of Expertise

Information, Communication & Computing

Treatment code (Nähere Zuordnung)

Basic - Fundamental (Grundlagenforschung)

Access to Document

10.1016/j.jmva.2012.05.007

Jirak_Change-point_JMultAnal_111_2012.pdfFinal published version, 368 KB

Asymptotic and Statistical Analysis of Time Series in Economy and Finance
Schauer, J. (Attendee), Berkes, I. (Project manager), Hörmann, S. (Other function) & Jirak, J. M. (Attendee)
1/01/02 → 31/12/24
Project: Research area

Cite this

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title = "Change-point analysis in increasing dimension",

abstract = "Let \{Yk, k ∈ Z\} be a d-dimensional stationary process, and g(d) = (g1(Y1, . . . Yn), . . . , gd(Y1, . . . Yn))t be a collection of estimators for some parameter Ψ (d) ∈ Rd. Based on the weighted CUSUM process, we discuss several procedures to detect possible changes in Ψ (d), where we explicitly allow d = dn to increase with the sample size n. It is demonstrated that an increase in dn (as n increases) may both lead to a loss or gain in power for testing procedures",

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AU - Jirak, Johannes Moritz

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N2 - Let {Yk, k ∈ Z} be a d-dimensional stationary process, and g(d) = (g1(Y1, . . . Yn), . . . , gd(Y1, . . . Yn))t be a collection of estimators for some parameter Ψ (d) ∈ Rd. Based on the weighted CUSUM process, we discuss several procedures to detect possible changes in Ψ (d), where we explicitly allow d = dn to increase with the sample size n. It is demonstrated that an increase in dn (as n increases) may both lead to a loss or gain in power for testing procedures

AB - Let {Yk, k ∈ Z} be a d-dimensional stationary process, and g(d) = (g1(Y1, . . . Yn), . . . , gd(Y1, . . . Yn))t be a collection of estimators for some parameter Ψ (d) ∈ Rd. Based on the weighted CUSUM process, we discuss several procedures to detect possible changes in Ψ (d), where we explicitly allow d = dn to increase with the sample size n. It is demonstrated that an increase in dn (as n increases) may both lead to a loss or gain in power for testing procedures

U2 - 10.1016/j.jmva.2012.05.007

DO - 10.1016/j.jmva.2012.05.007

M3 - Article

SN - 1095-7243

VL - 111

SP - 136

EP - 159

JO - Journal of Multivariate Analysis

JF - Journal of Multivariate Analysis

ER -

Change-point analysis in increasing dimension

Abstract

Fields of Expertise

Treatment code (Nähere Zuordnung)

Access to Document

Fingerprint

Projects

Asymptotic and Statistical Analysis of Time Series in Economy and Finance

Cite this