scholarly journals The Consistency of the CUSUM-Type Estimator of the Change-Point and Its Application

Mathematics ◽  
2020 ◽  
Vol 8 (12) ◽  
pp. 2113
Author(s):  
Saisai Ding ◽  
Xiaoqin Li ◽  
Xiang Dong ◽  
Wenzhi Yang
Keyword(s):  
Stock Returns ◽  
Change Point ◽  
Convergence Rates ◽  
Real Data ◽  
Change Point Analysis ◽  
Point Analysis ◽  
Special Cases ◽  
The Family ◽  
Potential Applications ◽  
Change Point Models

In this paper, we investigate the CUSUM-type estimator of mean change-point models based on m-asymptotically almost negatively associated (m-AANA) sequences. The family of m-AANA sequences contains AANA, NA, m-NA, and independent sequences as special cases. Under some weak conditions, some convergence rates are obtained such as OP(n1/p−1), OP(n1/p−1log1/pn) and OP(nα−1), where 0≤α<1 and 1<p≤2. Our rates are better than the ones obtained by Kokoszka and Leipus (Stat. Probab. Lett., 1998, 40, 385–393). In order to illustrate our results, we do perform simulations based on m-AANA sequences. As important applications, we use the CUSUM-type estimator to do the change-point analysis based on three real data such as Quebec temperature, Nile flow, and stock returns for Tesla. Some potential applications to change-point models in finance and economics are also discussed in this paper.

A Sequential Bayesian Change-Point Analysis of BRICS Currency Returns

2021 ◽  
Author(s):  
Aviral Kumar Tiwari ◽  
Cleiton Guollo Taufemback ◽  
Satish Kumar
Keyword(s):  
Change Point ◽  
Change Point Analysis ◽  
Point Analysis

Detection of Test Speededness Using Change-Point Analysis

Psychometrika ◽  
2015 ◽  
Vol 81 (4) ◽  
pp. 1118-1141 ◽  
Author(s):  
Can Shao ◽  
Jun Li ◽  
Ying Cheng
Keyword(s):  
Change Point ◽  
Change Point Analysis ◽  
Test Speededness ◽  
Point Analysis

Climate change effects on annual streamflow of Filyos River (Turkey)

2018 ◽  
Vol 11 (2) ◽  
pp. 420-433 ◽  
Author(s):  
Adem Yavuz Sönmez ◽  
Semih Kale
Keyword(s):  
Climate Change ◽  
Trend Analysis ◽  
Change Point ◽  
Change Point Analysis ◽  
Climatic Data ◽  
Climatic Parameters ◽  
Annual Streamflow ◽  
Climate Change Effects ◽  
Temperature And Precipitation ◽  
Point Analysis

Abstract The main purpose of this study was to estimate possible climate change effects on the annual streamflow of Filyos River (Turkey). Data for annual streamflow and climatic parameters were obtained from streamflow gauging stations on the river and Bartın, Karabük, Zonguldak meteorological observation stations. Time series analysis was performed on 46 years of annual streamflow data and 57 years of annual mean climatic data from three monitoring stations to understand the trends. Pettitt change-point analysis was applied to determine the change time and trend analysis was performed to forecast trends. To reveal the relationship between climatic parameters and streamflow, correlation tests, namely, Spearman's rho and Kendall's tau were applied. The results of Pettitt change-point analysis pointed to 2000 as the change year for streamflow. Change years for temperature and precipitation were detected as 1997 and 2000, respectively. Trend analysis results indicated decreasing trends in the streamflow and precipitation, and increasing trend in temperature. These changes were found statistically significant for streamflow (p &lt; 0.05) and temperature (p &lt; 0.01). Also, a statistically significant (p &lt; 0.05) correlation was found between streamflow and precipitation. In conclusion, decreasing precipitation and increasing temperature as a result of climate change initiated a decrease in the river streamflow.

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