Robust Test for Detecting Changes in the Autocovariance Function of a Time Series

Austrian Journal of Statistics

article

Alexander Dürre¹  Roland Fried² 

[1] Université libre de Bruxelles;Technische Universität Dortmund

关键词: second-order stationarity;    structural break;    change-point detection;   

DOI  :  10.17713/ajs.v49i4.1123

学科分类：医学（综合）

来源: Austrian Statistical Society

【 摘 要 】

We propose a new robust test to detect changes in the autocovariance function of a time series. The test is based on empirical autocovariances of a robust transformation of the original time series. Because of the transformation, we do not require any finite moments of the original time series, making the test especially suitable for heavy tailed time series. We furthermore propose a lag weighting scheme, which puts emphasis on changes of the autocovariance at smaller lags. Our approach is compared to existing ones in some simulations.

【 授权许可】

CC BY