On changepoint detection in functional data using empirical energy distance

EI seminar
Lorenzo Trapani
Wednesday 29 May 2024, 12:00 - 13:00
E Building
Campus Woudestein
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We propose a novel family of test statistics to detect the presence of changepoints in a sequence of dependent, possibly multivariate, functional-valued observations. Our approach allows to test for a very general class of changepoints, including the "classical" case of changes in the mean, and even changes in the whole distribution.

Our statistics are based on a generalisation of the empirical energy distance; we propose weighted functionals of the energy distance process, which are designed in order to enhance the ability to detect breaks occurring at sample endpoints. The limiting distribution of the maximally selected version of our statistics requires only the computation of the eigenvalues of the covariance function, thus being readily implementable in the most commonly employed packages, e.g. R. We show that, under the alternative, our statistics are able to detect changepoints occurring even very close to the beginning/end of the sample. 

In the presence of multiple changepoints, we propose a binary segmentation algorithm to estimate the number of breaks and the locations thereof. Simulations show that our procedures work very well in finite samples. We complement our theory with applications to financial and temperature data.


You can sign up for this seminar by sending an email to eb-secr@ese.eur.nl. The lunch will be provided (vegetarian option included).


See also

Beyond Arbitrage: Deviations from Risk-Return

Benjamin Holcblat, (University of Luxembourg)

Variable aggregation in a Benders decomposition for the p-median problem

Rick Willemsen (Erasmus School of Economics)
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Saddlepoint techniques for the statistical analysis of time series

Davide La Vecchia (University of Geneva)
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The Anatomy of Machine Learning-Based Portfolio Performance

Christian Montes Schutte, Aarhus University
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More information

Do you want to know more about the event? Contact the secretariat Econometrics at eb-secr@ese.eur.nl.

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