Change-point analysis in increasing dimension

Moritz Jirak

Journal of Multivariate Analysis, 2012, vol. 111, issue C, 136-159

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.

Keywords: Brownian bridge; Change in parameters; Weakly dependent processes; Strong invariance principle; Increasing dimension (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.jmva.2012.05.007

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