New statistics are proposed to estimate and test the structural change when the data dimension is comparable to or larger than the sample size. Consistency of the new statistic in estimating the change point position ...New statistics are proposed to estimate and test the structural change when the data dimension is comparable to or larger than the sample size. Consistency of the new statistic in estimating the change point position is established under the alternative hypothesis. The asymptotic distribution of the new statistic in testing the existence of a change point is obtained under the null hypothesis. Some simulation results are presented which show that the numerical performance of our method is satisfactory. The method is illustrated via the analysis of the house price index of US.展开更多
基金supported by National Natural Science Foundation of China (Grant No. 11571337)the Ministry of Education of Singapore (Grant No. # ARC 14/11)the National University of Singapore (Grant No. R-155-151-112)
文摘New statistics are proposed to estimate and test the structural change when the data dimension is comparable to or larger than the sample size. Consistency of the new statistic in estimating the change point position is established under the alternative hypothesis. The asymptotic distribution of the new statistic in testing the existence of a change point is obtained under the null hypothesis. Some simulation results are presented which show that the numerical performance of our method is satisfactory. The method is illustrated via the analysis of the house price index of US.
