Journal
STAT
Volume 10, Issue 1, Pages -Publisher
WILEY
DOI: 10.1002/sta4.327
Keywords
asymptotic null distribution; change point consistency; gradual variance change point; hypothesis testing in nonparametric smoothing; smoothly changing mean trend
Categories
Funding
- National Science Foundation of China [11701294, 11926347]
- Fundamental Research Funds for the Central Universities of China
- Natural Science Foundation of Colleges of Jiangsu Province [18KJB110003]
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This paper focuses on detecting gradual change point in data, proposing a statistical method for detecting gradually changing variance with smooth mean changes.
In contrast to the analysis of abrupt changes, methods for detecting gradual change points are less developed. In this paper, we are interested in the scenario that the variance of data may vary gradually while the mean of data changes in a smooth fashion. We propose a penalized weighted least squares approach with an iterative estimation procedure to detect the gradual variance change point with a smoothly changing mean function. The null distribution of the test statistic is derived in association with the consistency of estimates. The performance of our method is illustrated by means of a simulation study and a real data example.
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