Detection of multiple change points for linear processes under negatively super-additive dependence

Detection of multiple change points for linear processes under negatively super-additive dependence

Abstract This paper focuses on the issue of detecting the multiple change points for linear processes under negatively super-additive dependence (NSD). We propose a CUSUM-type method in the multiple variance change model and establish the weak convergence rate of the change points estimation. To car...

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Bibliographic Details
Main Authors: Yuncai Yu, Xinsheng Liu, Ling Liu, Piao Zhao
Format: Article
Language:English
Published: SpringerOpen 2019-08-01
Series:Journal of Inequalities and Applications
Subjects:
Multiple change points
Linear processes under NSD
Variance change
CUSUM-type estimation
Weak convergence rate
Online Access:http://link.springer.com/article/10.1186/s13660-019-2169-5
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spelling doaj-cd8f003b4211451b99af2a16f272adaa2020-11-25T03:20:16ZengSpringerOpenJournal of Inequalities and Applications1029-242X2019-08-012019111610.1186/s13660-019-2169-5Detection of multiple change points for linear processes under negatively super-additive dependenceYuncai Yu0Xinsheng Liu1Ling Liu2Piao Zhao3State Key Laboratory of Mechanics and Control of Mechanical Structures, Institute of Nano Science and Department of Mathematics, Nanjing University of Aeronautics and AstronauticsState Key Laboratory of Mechanics and Control of Mechanical Structures, Institute of Nano Science and Department of Mathematics, Nanjing University of Aeronautics and AstronauticsDepartment of Information Science and Technology, Donghua UniversityState Key Laboratory of Mechanics and Control of Mechanical Structures, Institute of Nano Science and Department of Mathematics, Nanjing University of Aeronautics and AstronauticsAbstract This paper focuses on the issue of detecting the multiple change points for linear processes under negatively super-additive dependence (NSD). We propose a CUSUM-type method in the multiple variance change model and establish the weak convergence rate of the change points estimation. To carry out this method, we give a multiple variance-change iterative (MVCI) algorithm. Additionally, some simulations are implemented to substantiate the validity of the CUSUM-type method. Comparison with some best methods indicates that the CUSUM-type change point estimation is computationally competitive and superior in terms of the mean squared error (MSE).http://link.springer.com/article/10.1186/s13660-019-2169-5Multiple change pointsLinear processes under NSDVariance changeCUSUM-type estimationWeak convergence rate
collection DOAJ
language English
format Article
sources DOAJ
author Yuncai Yu
Xinsheng Liu
Ling Liu
Piao Zhao
spellingShingle Yuncai Yu
Xinsheng Liu
Ling Liu
Piao Zhao
Detection of multiple change points for linear processes under negatively super-additive dependence
Journal of Inequalities and Applications
Multiple change points
Linear processes under NSD
Variance change
CUSUM-type estimation
Weak convergence rate
author_facet Yuncai Yu
Xinsheng Liu
Ling Liu
Piao Zhao
author_sort Yuncai Yu
title Detection of multiple change points for linear processes under negatively super-additive dependence
title_short Detection of multiple change points for linear processes under negatively super-additive dependence
title_full Detection of multiple change points for linear processes under negatively super-additive dependence
title_fullStr Detection of multiple change points for linear processes under negatively super-additive dependence
title_full_unstemmed Detection of multiple change points for linear processes under negatively super-additive dependence
title_sort detection of multiple change points for linear processes under negatively super-additive dependence
publisher SpringerOpen
series Journal of Inequalities and Applications
issn 1029-242X
publishDate 2019-08-01
description Abstract This paper focuses on the issue of detecting the multiple change points for linear processes under negatively super-additive dependence (NSD). We propose a CUSUM-type method in the multiple variance change model and establish the weak convergence rate of the change points estimation. To carry out this method, we give a multiple variance-change iterative (MVCI) algorithm. Additionally, some simulations are implemented to substantiate the validity of the CUSUM-type method. Comparison with some best methods indicates that the CUSUM-type change point estimation is computationally competitive and superior in terms of the mean squared error (MSE).
topic Multiple change points
Linear processes under NSD
Variance change
CUSUM-type estimation
Weak convergence rate
url http://link.springer.com/article/10.1186/s13660-019-2169-5
work_keys_str_mv AT yuncaiyu detectionofmultiplechangepointsforlinearprocessesundernegativelysuperadditivedependence
AT xinshengliu detectionofmultiplechangepointsforlinearprocessesundernegativelysuperadditivedependence
AT lingliu detectionofmultiplechangepointsforlinearprocessesundernegativelysuperadditivedependence
AT piaozhao detectionofmultiplechangepointsforlinearprocessesundernegativelysuperadditivedependence
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