Detecting and dating structural breaks in functional data without dimension reduction

Aue, Alexander; Rice, Gregory E.; Sönmez, Ozan

doi:10.48550/arxiv.1511.04020

Cited by 1 publication

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“…Furthermore, we discuss the relation of projection-based and fully-functional estimates for change-points. This contributes to the investigation of some related estimates in the recent work of Aue et al (2015).…”

Section: Introductionmentioning

confidence: 75%

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A Darling–Erdős-type CUSUM-procedure for functional data

Torgovitski

2014

Metrika

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This article considers testing for mean-level shifts in functional data. The class of the famous Darling-Erdős-type cumulative sums (CUSUM) procedures is extended to functional time series under short range dependence conditions which are satisfied by functional analogues of many popular time series models including the linear functional AR and the non-linear functional ARCH. We follow a data driven, projection-based approach where the lower-dimensional subspace is determined by (long run) functional principal components which are eigenfunctions of the long run covariance operator. This second-order structure is generally unknown and estimation is crucial -it plays an even more important role than in the classical univariate setup because it generates the finitedimensional subspaces. We discuss suitable estimates and demonstrate empirically that altogether this change-point procedure performs well under moderate temporal dependence.Moreover, Darling-Erdős-type change-point estimates based on (long run) functional principal components as well as the corresponding »fully-functional« counterparts are provided and the testing procedure is finally applied to publicly accessible electricity data from a German power company.

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Section: Introductionmentioning

confidence: 75%

“…2. One possibility to avoid this issue is shown recently by Aue et al (2015) in a closely related context. They considered fully-functional estimates of the change point to overcome problems with »high-frequency« changes.…”

Section: Assumption (E1) Under Hmentioning

confidence: 99%

A Darling–Erdős-type CUSUM-procedure for functional data

Torgovitski

2014

Metrika

View full text Add to dashboard Cite

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Detecting and dating structural breaks in functional data without dimension reduction

Cited by 1 publication

References 0 publications

A Darling–Erdős-type CUSUM-procedure for functional data

A Darling–Erdős-type CUSUM-procedure for functional data

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