A self-normalization and support vector regression based approach for detecting structural change points in time series

Nini Xie

PLOS ONE, 2026, vol. 21, issue 4, 1-13

Abstract: Background: The detection of structural change points in time series is a fundamental problem in statistical analysis, with significant implications across numerous scientific disciplines. Traditional change-point detection methods often face challenges in consistently estimating the long-run variance of time series, which can limit their practical application. Methodology/Principal findings: This paper introduces a novel change-point detection methodology that integrates Support Vector Regression (SVR) with a self-normalization framework. By leveraging SVR's flexible modeling capabilities to obtain accurate residual estimates and employing a self-normalized test statistic, our approach circumvents the need for long-run variance estimation. Under the null hypothesis of no structural change, the test statistic converges to a non-degenerate limiting distribution, while under the alternative hypothesis, it diverges to infinity, ensuring consistent detection power. Extensive simulation studies demonstrate that our method outperforms existing SVR-based tests in finite-sample performance, offering improved size control (empirical size close to nominal 0.05 level) and higher detection power across various scenarios. Empirical applications to hydrological and financial time series (Nile River flow data and Nikkei 225 index) validate the method's practical utility in real-world settings. Conclusions/Significance: The proposed framework provides a robust, parameter-free tool for analyzing structural instability in time series, with particular advantages in handling complex, nonlinear data structures. The method’s avoidance of tuning parameters and consistent performance across different domains suggest broad applicability in scientific research and practical applications.

Date: 2026
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Persistent link: https://EconPapers.repec.org/RePEc:plo:pone00:0340729

DOI: 10.1371/journal.pone.0340729

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