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Optimal change-point estimation in time series

Ngai Hang CHAN, Wai Leong NG, Chun Yip YAU, Haihan YU

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

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Abstract

This paper establishes asymptotic theory for optimal estimation of change points in general time series models under α-mixing conditions. We show that the Bayes-type estimator is asymptotically minimax for change-point estimation under squared error loss. Two bootstrap procedures are developed to construct confidence intervals for the change points. An approximate limiting distribution of the change-point estimator under small change is also derived. Simulations and real data applications are presented to investigate the finite sample performance of the Bayes-type estimator and the bootstrap procedures.
Original languageEnglish
Pages (from-to)2336-2355
JournalAnnals of Statistics
Volume49
Issue number4
DOIs
Publication statusPublished - Aug 2021
Externally publishedYes

Research Keywords

  • Bayes-type estimator
  • Confidence interval
  • Double-sided random process
  • Piecewise stationary time series
  • Structural break

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    XIE, M. (Principal Investigator / Project Coordinator), BENSOUSSAN, A. (Co-Principal Investigator), LO, S. M. (Co-Principal Investigator), SHOU, B. (Co-Principal Investigator), SINGPURWALLA, N. D. (Co-Principal Investigator), TSE, W. T. P. (Co-Principal Investigator), TSUI, K. L. (Co-Principal Investigator), YU, Y. (Co-Principal Investigator), YUEN, K. K. R. (Co-Principal Investigator), CHAN, A. B. (Co-Investigator), CHAN, N.-H. (Co-Investigator), CHIN, K. S. (Co-Investigator), CHOW, H. A. (Co-Investigator), Chow, W. K. (Co-Investigator), EDESESS, M. (Co-Investigator), GOLDSMAN, D. M. (Co-Investigator), Huang, J. (Co-Investigator), LEE, W. M. (Co-Investigator), LI, L. (Co-Investigator), LI, C. L. (Co-Investigator), LING, M. H. A. (Co-Investigator), LIU, S. (Co-Investigator), MURAKAMI, J. (Co-Investigator), NG, S. Y. S. (Co-Investigator), NI, M. C. (Co-Investigator), TAN, M.H.-Y. (Co-Investigator), Wang, W. (Co-Investigator), Wang, J. (Co-Investigator), WONG, C. K. (Co-Investigator), WONG, S. Y. Z. (Co-Investigator), WONG, S. C. (Co-Investigator), Xu, Z. (Co-Investigator), ZHANG, Z. (Co-Investigator), Zhang, D. (Co-Investigator), ZHAO, J. L. (Co-Investigator) & Zhou, Q. (Co-Investigator)

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