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Test by adaptive LASSO quantile method for real-time detection of a change-point

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  • Gabriela Ciuperca

    (Université de Lyon, Université Lyon 1)

Abstract

This article proposes a test statistic based on the adaptive LASSO quantile method to detect in real-time a change in a linear model. The model can have a large number of explanatory variables and the errors don’t satisfy the classical assumptions for a statistical model. For the proposed test statistic, the asymptotic distribution under $$H_0$$ H 0 is obtained and the divergence under $$H_1$$ H 1 is shown. It is shown via Monte Carlo simulations, in terms of empirical sizes, of empirical powers and of stopping time detection, that the useful test statistic for applications is better than other test statistics proposed in literature. Two applications on the air pollution and in the health field data are also considered.

Suggested Citation

  • Gabriela Ciuperca, 2018. "Test by adaptive LASSO quantile method for real-time detection of a change-point," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 81(6), pages 689-720, August.
    • Handle: RePEc:spr:metrik:v:81:y:2018:i:6:d:10.1007_s00184-018-0676-x
    DOI: 10.1007/s00184-018-0676-x
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    References listed on IDEAS

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    Cited by:

    1. Gabriela Ciuperca, 2022. "Real-time detection of a change-point in a linear expectile model," Statistical Papers, Springer, vol. 63(4), pages 1323-1367, August.

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