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BOOTSTRAP INFERENCE FOR MULTIPLE CHANGE-POINTS IN TIME SERIES

Published online by Cambridge University Press:  25 June 2021

Wai Leong Ng ,
Shenyi Pan  and
Chun Yip Yau
Wai Leong Ng*
Affiliation:
The Hang Seng University of Hong Kong
Shenyi Pan
Affiliation:
The University of British Columbia
Chun Yip Yau
Affiliation:
The Chinese University of Hong Kong
*
Address correspondence to Wai Leong Ng, Department of Mathematics, Statistics and Insurance, School of Decision Sciences, The Hang Seng University of Hong Kong, Shatin, NT, Hong Kong; e-mail: wlng@hsu.edu.hk.
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Abstract

In this paper, we propose two bootstrap procedures, namely parametric and block bootstrap, to approximate the finite sample distribution of change-point estimators for piecewise stationary time series. The bootstrap procedures are then used to develop a generalized likelihood ratio scan method (GLRSM) for multiple change-point inference in piecewise stationary time series, which estimates the number and locations of change-points and provides a confidence interval for each change-point. The computational complexity of using GLRSM for multiple change-point detection is as low as $O(n(\log n)^{3})$ for a series of length n. Extensive simulation studies are provided to demonstrate the effectiveness of the proposed methodology under different scenarios. Applications to financial time series are also illustrated.

Type
ARTICLES
Information
Econometric Theory , Volume 38 , Issue 4 , August 2022 , pp. 752 - 792
Copyright
© The Author(s), 2021. Published by Cambridge University Press

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Footnotes

We would like to thank the Editor Peter C.B. Phillips, Co-Editor Robert Taylor, and two anonymous referees for their helpful comments and thoughtful suggestions, which led to a much improved version of this paper. This research has been supported in part by HKSAR-RGC-FDS Project No. UGC/FDS14/P01/20 (Ng), and HKSAR-RGC-GRF Nos 14302719, 14305517, 14308218 and 14601015 (Yau).

References

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