scholarly journals Consistency of binary segmentation for multiple change-point estimation with functional data

2021 ◽  
pp. 109228
Author(s):  
Gregory Rice ◽  
Chi Zhang
Keyword(s):  
Functional Data ◽  
Change Point ◽  
Point Estimation ◽  
Change Point Estimation ◽  
Binary Segmentation

scholarly journals Change Point Estimation in Panel Data without Boundary Issue

Risks ◽  
2017 ◽  
Vol 5 (1) ◽  
pp. 7 ◽  
Author(s):  
Barbora Peštová ◽  
Michal Pešta
Keyword(s):  
Panel Data ◽  
Change Point ◽  
Point Estimation ◽  
Change Point Estimation

scholarly journals Consistency of an Estimator for Change Point in Volatility of Financial Returns

2021 ◽  
Vol 13 (1) ◽  
pp. 56
Author(s):  
Josephine Njeri Ngure ◽  
Anthony Gichuhi Waititu
Keyword(s):  
Exchange Rate ◽  
Change Point ◽  
Point Estimation ◽  
Fourth Moment ◽  
Financial Returns ◽  
Test Statistic ◽  
Data Set ◽  
United States Dollar ◽  
Binary Segmentation ◽  
Non Parametric

A non parametric Auto-Regressive Conditional Heteroscedastic model for financial returns series is considered in which the conditional mean and volatility functions are estimated non-parametrically using Nadaraya Watson kernel. A test statistic for unknown abrupt change point in volatility which takes into consideration conditional heteroskedasticity, dependence, heterogeneity and the fourth moment of financial returns, since kurtosis is a function of the fourth moment is considered. The test is based on L2norm of the conditional variance functions of the squared residuals. A non-parametric change point estimator in volatility of financial returns is further obtained. The consistency of the estimator is shown theoretically and through simulation. An application of the estimator in change point estimation in volatility of United States Dollar/Kenya Shilling exchange rate returns data set is made. Through binary segmentation procedure, three change points in volatility of the exchange rate returns are estimated and further accounted for.

scholarly journals Change Point Estimation in Panel Data without Boundary Issue

2016 ◽  
Author(s):  
Barbora Peštová ◽  
Michal Pešta
Keyword(s):  
Panel Data ◽  
Change Point ◽  
Structural Breaks ◽  
Break Point ◽  
Point Estimation ◽  
The Novel ◽  
Structure Estimation ◽  
Change Point Estimation ◽  
Point Estimator ◽  
First Time

Panel data of our interest consist of a moderate number of panels, while the panels contain a small number of observations. An estimator of common breaks in panel means without a boundary issue for this kind of scenario is proposed. In particular, the novel estimator is able to detect a common break point even when the change happens immediately after the first time point or just before the last observation period. Another advantage of the elaborated change point estimator is that it results in the last observation in situations with no structural breaks. The consistency of the change point estimator in panel data is established. The results are illustrated through a simulation study. As a by-product of the developed estimation technique, a theoretical utilization for correlation structure estimation, hypothesis testing, and bootstrapping in panel data is demonstrated. A practical application to non-life insurance is presented as well.

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