State-domain change point detection for nonlinear time series regression

Yan Cui, Jun Yang, Zhou Zhou

Research output: Contribution to journalJournal articleResearchpeer-review

Abstract

Change point detection in time series has attracted substantial interest, but most of the existing results have been focused on detecting change points in the time domain. This paper considers the situation where nonlinear time series have potential change points in the state domain. We apply a density-weighted anti-symmetric kernel function to the state domain and therefore propose a nonparametric procedure to test the existence of change points. When the existence of change points is affirmative, we further introduce an algorithm to estimate the number of change points together with their locations. Theoretical results of the proposed detection and estimation procedures are given and a real dataset is used to illustrate our methods.
Original languageEnglish
JournalJournal of Econometrics
Volume234
Issue number1
Pages (from-to)3-27
ISSN0304-4076
DOIs
Publication statusPublished - May 2023
Externally publishedYes

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