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Adaptive Inference for Change Points in High-Dimensional Data

In this article, we propose a class of test statistics for a change point in the mean of high-dimensional independent data. Our test integrates the U-statistic based approach in a recent work by Wang et al. and the Lq-norm based high-dimensional test in a recent work by He et al., and inherits several appealing features such as being tuning parameter free and asymptotic independence for test statistics corresponding to even q’s. A simple combination of test statistics corresponding to several different q’s leads to a test with adaptive power property, that is, it can be powerful against both sparse and dense alternatives. On the estimation front, we obtain the convergence rate of the maximizer of our test statistic standardized by sample size when there is one change-point in mean and q = 2, and propose to combine our tests with a wild binary segmentation algorithm to estimate the change-point number and locations when there are multiple change-points. Numerical comparisons using both simulated and real data demonstrate the advantage of our adaptive test and its corresponding estimation method.

Ketersediaan

Informasi Detail

Judul Seri

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION (JASA); Vol.117 No.540 December 2022

No. Panggil

-

Penerbit

: .,

Deskripsi Fisik

p. 1751-1762

Bahasa

English

ISBN/ISSN

-

Klasifikasi

NONE

Tipe Isi

-

Tipe Media

-

Tipe Pembawa

-

Edisi

-

Subjek

U-STATISTICS
SEGMENTATION
SELF-NORMALIZATION
STRUCTURAL BREAK
ASYMPTOTICALLY PIVOTAL

Info Detail Spesifik

https://doi.org/10.1080/01621459.2021.1884562

Pernyataan Tanggungjawab

Yangfan Zhang, Runmin Wang, Xiaofeng Shao

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