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

被引：0
作者：
Mamadou Lamine Diop
William Kengne
机构：
[1] THEMA,
[2] CY Cergy Paris Université,undefined
来源：
TEST | 2023年 / 32卷
关键词：
Change-point; Multivariate time series; Minimum contrast estimation; Consistency; Causal processes; Integer-valued time series; 62M10; 62F05; 62F12;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
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.
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页码：1 / 33
页数：32
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