A general procedure for change-point detection in multivariate time series

Mamadou Lamine Diop () and William Kengne ()
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Mamadou Lamine Diop: THEMA, CY Cergy Paris Université
William Kengne: THEMA, CY Cergy Paris Université

TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, 2023, vol. 32, issue 1, No 1, 33 pages

Abstract: Abstract We consider the change-point detection in a general class of time series models, including multivariate continuous and integer- valued time series. We propose a Wald-type statistic based on the estimator performed by a general contrast function, which can be constructed from the likelihood, a quasi-likelihood, a least squares method, etc. Sufficient conditions are provided to ensure that the test statistic convergences to a well-known distribution under the null hypothesis (of no change) and diverges to infinity under the alternative, which establishes the consistency of the procedure. Some examples of models are detailed to illustrate the scope of application of the proposed change-point detection tool. The procedure is applied to simulated and real data examples for numerical illustration.

Keywords: Change-point; Multivariate time series; Minimum contrast estimation; Consistency; Causal processes; Integer-valued time series; 62M10; 62F05; 62F12 (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s11749-022-00824-z

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