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Inference of breakpoints in high-dimensional time series

Likai Chen, Weining Wang and Wei Biao Wu

No 2020-019, IRTG 1792 Discussion Papers from Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series"

Abstract: For multiple change-points detection of high-dimensional time series, we provide asymptotic theory concerning the consistency and the asymptotic distribution of the breakpoint statistics and estimated break sizes. The theory backs up a simple two- step procedure for detecting and estimating multiple change-points. The proposed two-step procedure involves the maximum of a MOSUM (moving sum) type statistics in the rst step and a CUSUM (cumulative sum) re nement step on an aggregated time series in the second step. Thus, for a xed time-point, we can capture both the biggest break across di erent coordinates and aggregating simultaneous breaks over multiple coordinates. Extending the existing high-dimensional Gaussian approximation theorem to dependent data with jumps, the theory allows us to characterize the size and power of our multiple change-point test asymptotically. Moreover, we can make inferences on the breakpoints estimates when the break sizes are small. Our theoretical setup incorporates both weak temporal and strong or weak cross-sectional dependence and is suitable for heavy-tailed innovations. A robust long-run covariance matrix estimation is proposed, which can be of independent interest. An application on detecting structural changes of the U.S. unemployment rate is considered to illustrate the usefulness of our method.

Keywords: multiple change points detection; temporal and cross-sectional dependence; Gaussian approximation; inference of break locations (search for similar items in EconPapers)
JEL-codes: C00 (search for similar items in EconPapers)
Date: 2020
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
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Citations: View citations in EconPapers (2)

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Related works:
Working Paper: Inference of Break-Points in High-Dimensional Time Series (2019) Downloads
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