JSM 2013 Home
Online Program Home
My Program

Abstract Details

Activity Number: 90
Type: Contributed
Date/Time: Sunday, August 4, 2013 : 4:00 PM to 5:50 PM
Sponsor: Section on Nonparametric Statistics
Abstract - #307611
Title: Detection of Multiple Structural Breaks in Multivariate Time Series
Author(s): Philip Preuss*+
Companies: Ruhr-University Bochum
Keywords: multiple structural breaks ; cusum test ; empirical process

We propose an integrative nonparametric procedure for the detection and estimation of multiple structural breaks in the autocovariance function of a multivariate (second-order) piecewise stationary process, which also identifi es the components of the series where the breaks occur. The new method is based on a comparison of the estimated spectral distribution on diff erent segments of the observed times series and consists of three steps: it starts with a consistent bootstrap test, which allows to prove the existence of structural breaks at a controlled type I error. Secondly, it estimates a set of possible break points and fi nally this set is reduced to identify the relevant structural breaks and corresponding components which are responsible for these breaks. 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 a data-driven rule for the selection of regularization parameters. In a comprehensive simulation study it is shown that the proposed test cleary outperforms the well know CUSUM procedure if more than one break point is present.

Authors who are presenting talks have a * after their name.

Back to the full JSM 2013 program

2013 JSM Online Program Home

For information, contact jsm@amstat.org or phone (888) 231-3473.

If you have questions about the Continuing Education program, please contact the Education Department.

The views expressed here are those of the individual authors and not necessarily those of the JSM sponsors, their officers, or their staff.

ASA Meetings Department  •  732 North Washington Street, Alexandria, VA 22314  •  (703) 684-1221  •  meetings@amstat.org
Copyright © American Statistical Association.