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Detection and Estimation of Structural Breaks in High-Dimensional Functional Time Series. (arXiv:2304.07003v1 [stat.ME])
stat.ML updates on arXiv.org arxiv.org
In this paper, we consider detecting and estimating breaks in heterogeneous
mean functions of high-dimensional functional time series which are allowed to
be cross-sectionally correlated and temporally dependent. A new test statistic
combining the functional CUSUM statistic and power enhancement component is
proposed with asymptotic null distribution theory comparable to the
conventional CUSUM theory derived for a single functional time series. In
particular, the extra power enhancement component enlarges the region where the
proposed test has power, and results in …
arxiv detection distribution mean null paper performance power series test theory time series