- Preprint (4) (remove)
- autoregressive process (2)
- neural network (2)
- nonparametric regression (2)
- CUSUM statistic (1)
- Change analysis (1)
- Change analysis, nonparametric regression, nonlinear regression, autoregressive time series, sequential test, integer-valued time series (1)
- INGARCH (1)
- Integer-valued time series (1)
- Poisson autoregression (1)
- changepoint test (1)
- Monitoring time series based on estimating functions (2014)
- A large class of estimators including maximum likelihood, least squares and M-estimators are based on estimating functions. In sequential change point detection related monitoring functions can be used to monitor new incoming observations based on an initial estimator, which is computationally efficient because possible numeric optimization is restricted to the initial estimation. In this work, we give general regularity conditions under which we derive the asymptotic null behavior of the corresponding tests in addition to their behavior under alternatives, where conditions become particularly simple for sufficiently smooth estimating and monitoring functions. These regularity conditions unify and even extend a large amount of existing procedures in the literature, while they also allow us to derive monitoring schemes in time series that have not yet been considered in the literature including non-linear autoregressive time series and certain count time series such as binary or Poisson autoregressive models. We do not assume that the estimating and monitoring function are equal or even of the same dimension, allowing for example to combine a non-robust but more precise initial estimator with a robust monitoring scheme. Some simulations and data examples illustrate the usefulness of the described procedures.
- Testing for parameter stability in nonlinear autoregressive models (2011)
- In this paper we develop testing procedures for the detection of structural changes in nonlinear autoregressive processes. For the detection procedure we model the regression function by a single layer feedforward neural network. We show that CUSUM-type tests based on cumulative sums of estimated residuals, that have been intensively studied for linear regression, can be extended to this case. The limit distribution under the null hypothesis is obtained, which is needed to construct asymptotic tests. For a large class of alternatives it is shown that the tests have asymptotic power one. In this case, we obtain a consistent change-point estimator which is related to the test statistics. Power and size are further investigated in a small simulation study with a particular emphasis on situations where the model is misspecified, i.e. the data is not generated by a neural network but some other regression function. As illustration, an application on the Nile data set as well as S&P log-returns is given.
- A uniform central limit theorem for neural network based autoregressive processes with applications to change-point analysis (2011)
- We consider an autoregressive process with a nonlinear regression function that is modeled by a feedforward neural network. We derive a uniform central limit theorem which is useful in the context of change-point analysis. We propose a test for a change in the autoregression function which - by the uniform central limit theorem - has asymptotic power one for a large class of alternatives including local alternatives.
- Changepoint tests for INARCH time series (2011)
- In this paper, we discuss the problem of testing for a changepoint in the structure of an integer-valued time series. In particular, we consider a test statistic of cumulative sum (CUSUM) type for general Poisson autoregressions of order 1. We investigate the asymptotic behaviour of conditional least-squares estimates of the parameters in the presence of a changepoint. Then, we derive the asymptotic distribution of the test statistic under the hypothesis of no change, allowing for the calculation of critical values. We prove consistency of the test, i.e. asymptotic power 1, and consistency of the corresponding changepoint estimate. As an application, we have a look at changepoint detection in daily epileptic seizure counts from a clinical study.