UNIFORM CHANGE POINT TESTS IN HIGH DIMENSION

• 成果类型: Article
• 署名作者: Jirak, Moritz
• 署名单位: Humboldt University of Berlin
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/15-AOS1347
• 发表日期: 2015
• 页码: 2451-2483
• 关键词: time-series; covariance structure; AUTOREGRESSIVE PROCESSES; stationary-sequences; normalized sums; THEOREM; matrices; maximum; models

摘要

Consider d dependent change point tests, each based on a CUSUM-statistic. We provide an asymptotic theory that allows us to deal with the maximum over all test statistics as both the sample size n and d tend to infinity. We achieve this either by a consistent bootstrap or an appropriate limit distribution. This allows for the construction of simultaneous confidence bands for dependent change point tests, and explicitly allows us to determine the location of the change both in time and coordinates in high-dimensional time series. If the underlying data has sample size greater or equal n for each test, our conditions explicitly allow for the large d small n situation, that is, where n/d -> 0. The setup for the high-dimensional time series is based on a general weak dependence concept. The conditions are very flexible and include many popular multivariate linear and nonlinear models from the literature, such as ARMA, GARCH and related models. The construction of the tests is completely nonparametric, difficulties associated with parametric model selection, model fitting and parameter estimation are avoided. Among other things, the limit distribution for max(1 <= h <= d) sup(0 <= t <= 1) vertical bar W-t,W-h - tW(1,h)vertical bar is established, where {W-t,W-h}(1 <= h <= d) denotes a sequence of dependent Brownian motions. As an application, we analyze all S&P 500 companies over a period of one year.