Nonparametric Change Point Detection in Regression

03/06/2019
by   Valeriy Avanesov, et al.
0

This paper considers an important problem of change-point detection in regression. The study suggests a novel testing procedure featuring a fully data-driven calibration scheme. The method is essentially a black box, requiring no tuning from practitioner. We investigate the approach from both theoretical and practical point of view. The theoretical study demonstrates proper control of first-type error rate under H_0 and power approaching 1 under H_1. We also conduct experiments on synthetic data fully supporting the theoretical claims. In conclusion we apply the method to financial data, where it detects sensible change-points. Techniques for change-point localization are also suggested and investigated.

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