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arXiv · 2305.07581

Nonparametric data segmentation in multivariate time series via joint characteristic functions

Euan T. McGonigle·Haeran Cho
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Abstract

Modern time series data often exhibit complex dependence and structural changes which are not easily characterised by shifts in the mean or model parameters. We propose a nonparametric data segmentation methodology for multivariate time series termed NP-MOJO. By considering joint characteristic functions between the time series and its lagged values, NP-MOJO is able to detect change points in the marginal distribution, but also those in possibly non-linear serial dependence, all without the need to pre-specify the type of changes. We show the theoretical consistency of NP-MOJO in estimating the total number and the locations of the change points, and demonstrate the good performance of NP-MOJO against a variety of change point scenarios. We further demonstrate its usefulness in applications to seismology and economic time series.

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Euan T. McGonigle, Haeran Cho. 2025-08-05. Nonparametric data segmentation in multivariate time series via joint characteristic functions. https://doi.org/10.1093/biomet%2Fasaf024

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