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A combined SR-CUSUM procedure for detecting common changes in panel data

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  • Yanhong Wu

Abstract

A procedure based on the sum of N Shiryayev–Roberts processes is proposed to detect common changes in panel data and shown to perform better for small portions of changed panels. The change-point for each panel is estimated by using the CUSUM process calculated in parallel. The changed panels are isolated by using the scores formed by the post-change parameter estimations and the common change point is then estimated from the isolated changed panels. A real example is used for illustration. An adaptive detection procedures is also proposed when the unknown post-change parameters are estimated adaptively in each panel.

Suggested Citation

  • Yanhong Wu, 2019. "A combined SR-CUSUM procedure for detecting common changes in panel data," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 48(17), pages 4302-4319, September.
    • Handle: RePEc:taf:lstaxx:v:48:y:2019:i:17:p:4302-4319
    DOI: 10.1080/03610926.2018.1494285
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