Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Detection of multiple structural breaks in multivariate time series   We propose a new nonparametric procedure for the detection and estimation of
multiple structural breaks in the autocovariance function of a multivariate
(second- order) piecewise stationary process, which also identifies the
components of the series where the breaks occur. The new method is based on a
comparison of the estimated spectral distribution on different segments of the
observed time series and consists of three steps: it starts with a consistent
test, which allows to prove the existence of structural breaks at a controlled
type I error. Secondly, it estimates sets containing possible break points and
finally these sets are reduced to identify the relevant structural breaks and
corresponding components which are responsible for the changes in the
autocovariance structure. In contrast to all other methods which have been
proposed in the literature, our approach does not make any parametric
assumptions, is not especially designed for detecting one single change point
and addresses the problem of multiple structural breaks in the autocovariance
function directly with no use of the binary segmentation algorithm. We prove
that the new procedure detects all components and the corresponding locations
where structural breaks occur with probability converging to one as the sample
size increases and provide data-driven rules for the selection of all
regularization parameters. The results are illustrated by analyzing financial
returns, and in a simulation study it is demonstrated that the new procedure
outperforms the currently available nonparametric methods for detecting breaks
in the dependency structure of multivariate time series.

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The categories of this paper are: funct-an
13
The categories of this paper are: quant-ph
6
The categories of this paper are: astro-ph
31
The categories of this paper are: ao-sci
17
The categories of this paper are: q-fin
36
The categories of this paper are: cmp-lg
27
The categories of this paper are: comp-gas
22
The categories of this paper are: chao-dyn
23
The categories of this paper are: solv-int
25
The categories of this paper are: patt-sol
19
The categories of this paper are: eess
33
The categories of this paper are: plasm-ph
9
The categories of this paper are: nlin
15
The categories of this paper are: nucl-ex
10
The categories of this paper are: q-bio
3
The categories of this paper are: physics