• The Korean Journal of Applied Statistics
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• v.35 no.1
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• pp.63-75
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• 2022

This paper proposes the so-called MOSUM-based sparse projection method for change points detection in high-dimensional time series. Our method is inspired by Wang and Samworth (2018), however, our method improves their method in two ways. One is to find change points all at once, so it minimizes sequential error. The other is localized so that more robust to the mean changes offsetting each other. We also propose data-driven threshold selection using block wild bootstrap. A comprehensive simulation study shows that our method performs reasonably well in finite samples. We also illustrate our method to stock prices consisting of S&P 500 index, and found four change points in recent 6 years.

• Journal of Korea Port Economic Association
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• v.39 no.4
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• pp.255-268
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• 2023

This paper focuses on the tests for generalized fluctuation in the context of assessing structural changes based on linear regression models. For efficient estimation there has been a growing focus on the structural change monitoring, particularly in relation to fields such as artificial intelligence(hereafter AI) and machine learning(hereafter ML). Specifically, the investigation elucidates the implementation of structural changes and presents a coherent approach for the practical application to the BDI(Baltic Dry-bulk Index), which serves as a representative maritime trade index in global market. The framework encompasses a range of F-statistics type methodologies for fitting, visualization, and evaluation of empirical fluctuation processes, including CUSUM, MOSUM, and estimates-based processes. Additionally, it provides functionality for the computation and evaluation of sequences of pruned exact linear time(hereafter PELT).

• The Korean Journal of Applied Statistics
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• v.24 no.6
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• pp.1197-1211
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• 2011

The actual power performance of historical structural change tests are compared under various alternatives. The tests of interest are F, CUSUM, MOSUM, Moving Estimates and empirical distribution function tests with both recursive and ordinary least-squares residuals. Our comparison of the structural tests involves limiting distributions under the hypothesis, the ability to detect the alternative hypotheses under one or double structural change, and smooth change in parameters. Even though no version is uniformly superior to the other, the knowledge about the properties of those tests and connections between these tests can be used in practical structural change tests and in further research on other change tests.

• Communications for Statistical Applications and Methods
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• v.13 no.2
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• pp.205-217
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• 2006

In this paper, we consider the problem of testing for a change of the parameter function ${\theta}(t)$ that may have a discontinuity at some unknown point ${\tau}$. We introduce a varying-h moving estimate to test the null hypothesis that ${\theta}(t)$ is continuous against the alternative that ${\theta}({\tau}-){\neq}{\theta}({\tau}+)$. Simulation results are provided for illustration.