Changepoint in Error-Prone Relations

Michal Pešta
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Michal Pešta: Department of Probability and Mathematical Statistics, Faculty of Mathematics and Physics, Charles University, 18675 Prague, Czech Republic

Mathematics, 2021, vol. 9, issue 1, 1-25

Abstract: 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.

Keywords: changepoint; errors-in-variables; hypothesis testing; structural break; non-stationarity; dependence; weak invariance principle; singular value; calibration; insurance (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2021
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