Detecting Parameter Instabilities in Functional Concurrent Linear Regression
函数型同期线性回归中的参数不稳定性检测AI 解读 ↓
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函数型同期线性回归中的参数不稳定性检测AI 解读 ↓
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We develop methodology to detect structural breaks in the slope function of a concurrent functional linear regression model for functional time series in $C[0,1]$. Our test is based on a CUSUM process of regressor-weighted OLS residual functions. To accommodate both global and local changes, we propose $L^2$- and sup-norm versions, with the sup-norm particularly sensitive to spike-like changes. Under Hölder regularity and weak dependence conditions, we establish a functional strong invariance principle, derive the asymptotic null distribution, and show that the resulting tests are consistent against a broad class of alternatives with breaks in the slope function. Simulation studies illustrate finite-sample size and power. We apply the method to sports data obtained via body-worn sensors from running athletes, focusing on hip and knee joint-angle trajectories recorded during a fatiguing run. As fatigue accumulates, runners adapt their movement patterns, and sufficiently pronounced adjustments are expected to appear as a change point in the regression relationship. In this manner, we illustrate how the proposed tests support interpretable inference for biomechanical functional time series.
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检测Copula结构变化的平滑检验方法
This paper develops novel smooth tests for structural changes in the innovation copula of multivariate dynamic models. We characterize deviations from copula constancy through a collection of generalized Fourier coefficients and test their joint significance. Under the null hypothesis, estimation of the dynamic parameters and the unknown marginals has no first-order estimation effect on the proposed statistics. Consequently, the feasible tests based on estimated residuals…
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A functional central limit theorem for locally stationary time series taking values in a separable Banach space $B$ is established. The result does not require type-2 or cotype assumptions and therefore covers spaces central to functional data analysis, including $C([0,1])$ and $L^p([0,1])$. Under moment conditions, summable physical dependence coefficients, and a bracketing entropy condition controlling the infinite-dimensional tails, the centered and rescaled partial sum…
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评估时间序列已知转换点连续性的时间接缝分数
Long environmental records increasingly combine observations from successive observing or processing systems. Transitions between these systems create temporal seams that may reflect imperfect harmonization or changes in the observed process. We introduce the Temporal Seam Score (S-score, or S), a signed, robust measure for assessing continuity at a known transition time. The complete time series is fitted with a seam-blind model accounting for trend, seasonality, and…