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- W4366197952 abstract "In this paper, we consider detecting and estimating breaks in heterogeneous mean functions of high-dimensional functional time series which are allowed to be cross-sectionally correlated and temporally dependent. A new test statistic combining the functional CUSUM statistic and power enhancement component is proposed with asymptotic null distribution theory comparable to the conventional CUSUM theory derived for a single functional time series. In particular, the extra power enhancement component enlarges the region where the proposed test has power, and results in stable power performance when breaks are sparse in the alternative hypothesis. Furthermore, we impose a latent group structure on the subjects with heterogeneous break points and introduce an easy-to-implement clustering algorithm with an information criterion to consistently estimate the unknown group number and membership. The estimated group structure can subsequently improve the convergence property of the post-clustering break point estimate. Monte-Carlo simulation studies and empirical applications show that the proposed estimation and testing techniques have satisfactory performance in finite samples." @default.
- W4366197952 created "2023-04-19" @default.
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- W4366197952 date "2023-04-14" @default.
- W4366197952 modified "2023-10-01" @default.
- W4366197952 title "Detection and Estimation of Structural Breaks in High-Dimensional Functional Time Series" @default.
- W4366197952 doi "https://doi.org/10.48550/arxiv.2304.07003" @default.
- W4366197952 hasPublicationYear "2023" @default.
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