We propose a new nonparametric procedure for the detection and estimation of multiple structural breaks in the autocovariance function of a multivariate (secondorder) piecewise stationary process, which also identifies the components of the series where the breaks occur. The new method is based on a comparison of the estimated spectral distribution on different segments of the observed time series and consists of three steps: it starts with a consistent test, which allows to prove the existence of structural breaks at a controlled type I error. Secondly, it estimates sets containing possible break points and finally these sets are reduced to identify the relevant structural breaks and corresponding components which are responsible for the changes in the autocovariance structure. In contrast to all other methods which have been proposed in the literature, our approach does not make any parametric assumptions, is not especially designed for detecting one single change point and addresses the problem of multiple structural breaks in the autocovariance function directly with no use of the binary segmentation algorithm. We prove that the new procedure detects all components and the corresponding locations where structural breaks occur with probability converging to one as the sample size increases and provide data-driven rules for
In this article, we propose a nonparametric procedure for validating the assumption of stationarity in multivariate locally stationary time series models. We develop a bootstrap-assisted test based on a Kolmogorov-Smirnov-type statistic, which tracks the deviation of the time-varying spectral density from its best stationary approximation. In contrast to all other nonparametric approaches, which have been proposed in the literature so far, the test statistic does not depend on any regularization parameters like smoothing bandwidths or a window length, which is usually required in a segmentation of the data. We additionally show how our new procedure can be used to identify the components where non-stationarities occur and indicate possible extensions of this innovative approach. We conclude with an extensive simulation study, which shows finite-sample properties of the new method and contains a comparison with existing approaches.
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