State-domain change point detection for nonlinear time series regression
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State-domain change point detection for nonlinear time series regression. / Cui, Yan; Yang, Jun; Zhou, Zhou.
I: Journal of Econometrics, Bind 234, Nr. 1, 05.2023, s. 3-27.Publikation: Bidrag til tidsskrift › Tidsskriftartikel › Forskning › fagfællebedømt
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TY - JOUR
T1 - State-domain change point detection for nonlinear time series regression
AU - Cui, Yan
AU - Yang, Jun
AU - Zhou, Zhou
PY - 2023/5
Y1 - 2023/5
N2 - Change point detection in time series has attracted substantial interest, but most of the existing results have been focused on detecting change points in the time domain. This paper considers the situation where nonlinear time series have potential change points in the state domain. We apply a density-weighted anti-symmetric kernel function to the state domain and therefore propose a nonparametric procedure to test the existence of change points. When the existence of change points is affirmative, we further introduce an algorithm to estimate the number of change points together with their locations. Theoretical results of the proposed detection and estimation procedures are given and a real dataset is used to illustrate our methods.
AB - Change point detection in time series has attracted substantial interest, but most of the existing results have been focused on detecting change points in the time domain. This paper considers the situation where nonlinear time series have potential change points in the state domain. We apply a density-weighted anti-symmetric kernel function to the state domain and therefore propose a nonparametric procedure to test the existence of change points. When the existence of change points is affirmative, we further introduce an algorithm to estimate the number of change points together with their locations. Theoretical results of the proposed detection and estimation procedures are given and a real dataset is used to illustrate our methods.
U2 - 10.1016/j.jeconom.2021.11.007
DO - 10.1016/j.jeconom.2021.11.007
M3 - Journal article
VL - 234
SP - 3
EP - 27
JO - Journal of Econometrics
JF - Journal of Econometrics
SN - 0304-4076
IS - 1
ER -
ID: 361385224