Detecting changes in functional linear models
Lajos Horvath and
Journal of Multivariate Analysis, 2012, vol. 111, issue C, 310-334
We observe two sequences of curves which are connected via an integral operator. Our model includes linear models as well as autoregressive models in Hilbert spaces. We wish to test the null hypothesis that the operator did not change during the observation period. Our method is based on projecting the observations onto a suitably chosen finite dimensional space. The testing procedure is based on functionals of the weighted residuals of the projections. Since the quadratic form is based on estimating the long-term covariance matrix of the residuals, we also provide some results on Bartlett-type estimators.
Keywords: Functional data; Projections; Weak dependence; Change point; Weak convergence (search for similar items in EconPapers)
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