{"id":669,"date":"2018-12-26T10:49:10","date_gmt":"2018-12-26T09:49:10","guid":{"rendered":"https:\/\/www.hsu-hh.de\/statistik\/?post_type=tribe_events&p=669"},"modified":"2018-12-26T10:51:30","modified_gmt":"2018-12-26T09:51:30","slug":"changepoint-detection-in-a-nonparametric-time","status":"publish","type":"tribe_events","link":"https:\/\/www.hsu-hh.de\/statistik\/event\/changepoint-detection-in-a-nonparametric-time","title":{"rendered":"Maria Mohr (Uni Hamburg)"},"content":{"rendered":"

Changepoint detection in a nonparametric time series regression model<\/h1>\n

A weakly dependent time series is considered, for which we develop a strategy to detect whether the nonparametric conditional mean function is stable in time. The strategy allows for autoregressive effects and heteroscedasticity. Our proposal is based on a modified CUSUM-type test procedure, which uses a sequential marked empirical process of residuals. We show weak convergence of the considered process to a centered Gaussian process under the null \u201dmt(\u00b7) = m(\u00b7) for all t\u201d and a stationarity assumption. This requires some sophisticated arguments for sequential empirical processes of weakly dependent variables. As a consequence we obtain the convergence of Kolmogorov-Smirnov
\nand Cram\u00e9r-von Mises type test statistics. The procedure acquires a very simple limiting distribution and nice consistency properties against changepoint alternatives, features from which related tests are lacking. Further considerations include a bootstrap procedure as well as a test for change in the conditional variance function. Finally, a simulation study is conducted to investigate the finite sample performance of our tests.<\/p>\n","protected":false},"excerpt":{"rendered":"

Changepoint detection in a nonparametric time series regression model A weakly dependent time series is considered, for which we develop a strategy to detect whether the nonparametric conditional mean function […]<\/p>\n","protected":false},"author":335,"featured_media":0,"template":"","meta":{"_tribe_events_status":"","_tribe_events_status_reason":"","footnotes":""},"tags":[],"tribe_events_cat":[44],"class_list":["post-669","tribe_events","type-tribe_events","status-publish","hentry","tribe_events_cat-kolloquium-de","cat_kolloquium-de"],"_links":{"self":[{"href":"https:\/\/www.hsu-hh.de\/statistik\/wp-json\/wp\/v2\/tribe_events\/669","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.hsu-hh.de\/statistik\/wp-json\/wp\/v2\/tribe_events"}],"about":[{"href":"https:\/\/www.hsu-hh.de\/statistik\/wp-json\/wp\/v2\/types\/tribe_events"}],"author":[{"embeddable":true,"href":"https:\/\/www.hsu-hh.de\/statistik\/wp-json\/wp\/v2\/users\/335"}],"version-history":[{"count":5,"href":"https:\/\/www.hsu-hh.de\/statistik\/wp-json\/wp\/v2\/tribe_events\/669\/revisions"}],"predecessor-version":[{"id":674,"href":"https:\/\/www.hsu-hh.de\/statistik\/wp-json\/wp\/v2\/tribe_events\/669\/revisions\/674"}],"wp:attachment":[{"href":"https:\/\/www.hsu-hh.de\/statistik\/wp-json\/wp\/v2\/media?parent=669"}],"wp:term":[{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.hsu-hh.de\/statistik\/wp-json\/wp\/v2\/tags?post=669"},{"taxonomy":"tribe_events_cat","embeddable":true,"href":"https:\/\/www.hsu-hh.de\/statistik\/wp-json\/wp\/v2\/tribe_events_cat?post=669"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}