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Detecting and estimating changes in dependent functional data

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  • Aston, John A.D.
  • Kirch, Claudia
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    Abstract

    Change point detection in sequences of functional data is examined where the functional observations are dependent. Of particular interest is the case where the change point is an epidemic change (a change occurs and then the observations return to baseline at a later time). The theoretical properties for various tests for at most one change and epidemic changes are derived with a special focus on power analysis. Estimators of the change point location are derived from the test statistics and theoretical properties are investigated.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0047259X12000759
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Multivariate Analysis.

    Volume (Year): 109 (2012)
    Issue (Month): C ()
    Pages: 204-220

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    Handle: RePEc:eee:jmvana:v:109:y:2012:i:c:p:204-220

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    Related research

    Keywords: Change point test; Change point estimator; Epidemic change; Functional data; Dimension reduction; Power analysis;

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