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Application of Block Sieve Bootstrap to Change-Point detection in time series

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SaadZaman_UWGrad_Thesis.pdf (1.56 MB)

Date

2010-08-31T20:12:59Z

Authors

Zaman, Saad

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Publisher

University of Waterloo

Abstract

Since the introduction of CUSUM statistic by E.S. Page (1951), detection of change or a structural break in time series has gained significant interest as its applications span across various disciplines including economics, industrial applications, and environmental data sets. However, many of the early suggested statistics, such as CUSUM or MOSUM, lose their effectiveness when applied to time series data. Either the size or power of the test statistic gets distorted, especially for higher order autoregressive moving average processes. We use the test statistic from Gombay and Serban (2009) for detecting change in the mean of an autoregressive process and show how the application of sieve bootstrap to the time series data can improve the performance of our test to detect change. The effectiveness of the proposed method is illustrated by applying it to economic data sets.

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Keywords

Bootstrap, Time Series, Sieve Bootstrap, Change point, Change-point, Autoregressive moving average, structural break

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URI

http://hdl.handle.net/10012/5456

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Theses
Statistics and Actuarial Science