** Open Journal of Statistics** Vol.3 No.4(2013), Article ID:35934,7 pages DOI:10.4236/ojs.2013.34030

Change-Point Detection for General Nonparametric Regression Models

Department of Mathematics and Statistics, University of Calgary, Calgary, Canada

Email: ^{*}burke@math.ucalgary.ca

Copyright © 2013 Murray D. Burke, Gildas Bewa. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Received May 1, 2013; revised June 15, 2013; accepted June 22, 2013

**Keywords:** Change-point detection; Nonparametric regression models; Weighted bootstrap

ABSTRACT

A number of statistical tests are proposed for the purpose of change-point detection in a general nonparametric regression model under mild conditions. New proofs are given to prove the weak convergence of the underlying processes which assume remove the stringent condition of bounded total variation of the regression function and need only second moments. Since many quantities, such as the regression function, the distribution of the covariates and the distribution of the errors, are unspecified, the results are not distribution-free. A weighted bootstrap approach is proposed to approximate the limiting distributions. Results of a simulation study for this paper show good performance for moderate samples sizes.

1. Introduction

Model building is a very important task. When considering observations taken over time we may wish to consider the relationship between the X_{i} and the Y_{i} by some regression model, either parametric or semiparametric, linear or nonlinear. However, if, after some point i = k, there is a change in the relationship between X_{i} and Y_{i}, then a single regression model will be inappropriate and would fit the data poorly. For example, in Figure 1 below, the scatterplot on the left is that of a combined sample of 150 points. The middle scatterplot is that of the first 60 points while the right plot is that of the remaining 90 points. Without realizing that there was a change-point, one might wrongly propose a single regression model, perhaps linear, with heteroscedastic errors. Thus, it is important to determine whether such a change has occurred before the particular form of the model is postulated. If such a change has occurred, then two regression models should be used, one for the first k pairs and another for the remaining pairs. We will propose a number of tests designed to detect whether a change has occurred in a general nonparametric model. Change-point problems arise in many areas when observations (X_{i}, Y_{i}) are taken over time i.

For example, the height of (or discharge from) a river as a function of upstream precipitation, or concentrations of heavy metals in storm-water runoff as a function of suspended sediment size. We refer to the book by Csörgő and Horváth [1] for more applications and important references and to the papers [2-4] for other change-point problems.

We say that the pair (X, Y) satisfies general regression model M(ϕ, ψ, F, ε) if

for all, where ε is a mean zero, variance one random variable, independent of X. We write (X, Y) M(ϕ, ψ, F, ε).

For a sequence, consider the null hypotheses:

(1)

where ϕ, ψ > 0, and F are unspecified, the X_{i} are independent and the ε_{i} are independent and identically distributed. Model (1) encompasses both linear and nonlinear regression models and the case of heteroscedastic errors. We wish to test whether there is a change in the model as the observations are taken, without specifying ϕ, ψ or F, that is to test the null Hypothesis (1) versus the alternative:

(2)

Figure 1. Scatterplot of (X_{i}, Y_{i}).

for some, where [s] denotes the integer part of s.

(3)

for some, using the usual partial order in.

The alternative Hypothesis (2) includes the case where only ϕ changes, that is, , for some, and when only F changes, for some.

We will base our tests on the process

and zero otherwise, where is the indicator of the event

and

.

β_{n} can also be written as the difference of two means

(4)

where

.

Note that

.

We are considering the partial sums of the response variables Y_{i} aligned according to the X_{i}-observations. The advantage of β_{n} is that we can use empirical process theory which has much better convergence properties, rather than trying to estimate the function ϕ directly with kernel or other curve estimation methods which require a large sample size. As will be demonstrated in the simulation study, our approach works well for moderate sample sizes.

In the next section, we state the main results related to the weak convergence of the above process as well as convergence of various related statistics. These results do not assume the stringent condition of bounded variation for the regression function ϕ and the variance function ψ and strong moment conditions on the error distribution, which were assumed in an earlier paper [5]. Section 3 states the asymptotic results for the weighted bootstrap version of our statistics. This is needed since the asymptotic distributions of our statistics depend on unspecified functions. A new simulation study is conducted in Section 4. Proofs of the results (different from those in [5,6]) are sketched in Section 5.

2. Main Results

Assume the following:

(A1) The sequences {X_{i}} and {ε_{i}}, are independent.

(A2) The {X_{i}} are independent and identically distributed random vectors with distribution function F.

(A3) The functions, with, satisfy

.

(A4) The {ε_{i}: 1 < i} are independent and identically distributed with E({ε_{i}) = 0 and.

(A5)

.

Conditions (A1)-(A5) are much weaker than those in [5] and [6] where ϕ and ψ needed to be of bounded total variation and ε_{i} required much higher moment conditions (). While the conclusions in [5] and [6] may be stronger (weighted approximations), the requirement of bounded variation for ϕ and ψ limits their applicability. Here we dispense with this requirement. For example, we permit the case where the X_{i} have unbounded support and the regression relationship is polynomial (unbounded), provided X_{i} has finite moments of a suitable degree.

For

let

.

The first main result is:

Theorem 1 Under Assumptions (A1)-(A5) and the null Hypothesis (1),

in the space, equipped with the uniform norm, where is mean-zero Gaussian process with covariance function

and where

Corollary 2 Under the conditions of Theorem 1 and the null Hypothesis (1),

(5)

where

(6)

Corollary 2 follows immediately from Theorem 1.

Corollary 3 Under Assumptions (A1)-(A5) and (A3) for ϕ^{1} and F^{1}, the test statistics defined by (6) are consistent against the alternative Hypothesis (2).

Under the null Hypothesis (1), has mean zero for all x and s. The statistic in Equation (6) is a Kolmogorov-Smirnov type statistic expressing the largest deviation between the two means (before [ns] and after [ns]). Both statistics and are Cramérvon Mises type statistics which measures the squaredintegral distance between the two means. The statistic is the mean (integral over s) such distance, while is the supremum of the squared-integral distance.

Under the alternative Hypothesis (2), when s < θ, the first part of Expression (4) has mean

while the term after the minus sign has mean

when s > θ. (see inequality (3)).

3. Weighted Bootstrap Approximations

Since the distribution functions of the X_{i} and ε_{i}, as well as the functional forms of ϕ and ψ, are not specified, the limiting distributions of all our test statistics will not be known. A weighted bootstrap is proposed here which will approximate these asymptotic distributions.

Let

be m independent sequences of independent and identically distributed random variables, independent of the {ε_{i}} and {X_{i}} sequences. We will consider the processes

for

zero otherwise, where, and

Theorem 4 Assume Conditions (A1)-(A5) hold and that (A4)-(A5) holds for thesequences also. Then, under the null Hypothesis (1), along almost all sequences

given (X_{i},Y_{i}), , in the space, equipped with the uniform norm, for each j, whereis a mean-zero Gaussian process.

Under the conditions of Theorem 4, the same limiting distributions as found in Corollary 2 for statistics based on β_{n} are obtained for each. Moreover, the statistics based on β_{n} and, , are asymptotically independent.

It is also important for the bootstrap process to have a limiting distribution under the alternative hypothesis. We obtain:

Theorem 5 If the conditions of Theorem 4 hold for the functions ϕ^{1}, F^{1} , then under the alternative Hypothesis (2), along almost all sequences, given (X_{i},Y_{i}), , in the space, equipped with the uniform norm, for each j, where is a mean-zero Gaussian process.

4. Simulations

The proposed tests are omnibus tests in that we do not specify the form of the regression function ϕ. In order to examine how these tests perform, we conducted simulations for two quite different functions, ϕ(x) = 1 + x + βx^{2} and ϕ(x) = 2 sin(βx). The X_{i} were generated from the uniform U(−3, 3) distribution and the errors ε_{i} were standard normals. In each case, 1000 simulations were carried out, each with m = 1000 weighted bootstrap samples. The level of the tests was α = 0.05 throughout. Theorem 3 allows us to choose any mean-zero, variance-one distribution for the bootstrap weights. We chose standard normal weights for the simulation since the limiting processes are Gaussian and normal bootstrap weights have been found to work well in simulations for goodness-of-fit types of statistics [7,8]. We use the percentile method. If h(β_{n}) is one of the statistics in Corollary 2, we reject the null hypothesis if, where c_{n}(α) is the (1 − α)100-th percentile of the values,. Under the null hypothesis, c_{n}(α)→ c(α), where c(α) is the (1 − α)100-th percentile of (Theorems 1 and 3). Under the alternative hypothesis, c_{n}(α)→ c^{11}(α), with c^{11}(α), the (1 − α)100-th percentile of and h(β_{n}) →_{P}∞ (Corollary 3 and Theorem 4).

The first power study is for the alternative:

where ψ does not depend on X_{i }and the change-point is at 0.4n. The statistics KS_{n}, KC_{n} and MC_{n} are defined by Equation (6).

The first three rows correspond to the empirical level of the tests under the null hypothesis (β = 0.4) with different choices for ψ, the standard deviation. The breakpoint θ equals 0.4. The empirical level results are reasonably good especially when n > 50, that is they are close to the level of 0.05. The empirical powers of the tests are in the subsequent rows for different β.

As can be seen in Table 1, the power increases as β gets farther from 0.4 (the null Hypothesis). Understandably the power increases in n and decreases in ψ gets larger.

In the second simulation (see Table 2), we consider ϕ to be a sine function. We conduct our simulations for sample sizes n = 50, 100, 150. The first row of Table 2 is the empirical level of the test (β = 1, no change-point). Again the empirical level is good when n > 50.

We take ψ = 1, but vary the location of the changepoint θn. The power increases as β gets farther from 1 (the null hypothesis). The power increases with the sample size n. Except in a few instances, the power is greatest when the change-point occurs in the middle (θ = 0.5) and decreases as θ is farther from 0.5. The exceptional cases are likely due to simulation error.

Considering that our tests are omnibus in nature, the power results can be seen to be quite good.

5. Proofs of the Main Results

Proof of Theorem 1: For, let

where

The collectionis a Vapnik-Cervonenkis class of sets. Consequently, the collection of indicator functions

is a Donsker class of functions. For (fixed) ϕ and ψ,

and

are Donsker classes (Pollard [9]). By Giné and Zinn [10, 11] (see also Corollary 2.9.3 of [12]),

where

converges in distribution to a vector of tight independent Gaussian processes, η_{1}

and η_{2}, each with zero mean and covariance (j = 1, 2):

Consequently,

converges in distribution to a vector of tight independent Gaussian processes with and covariance

.

Table 1. Power when ϕ(x) = 1 + x + 0.4x^{2}, ϕ^{1}(x) = 1 + x + ψx^{2} and breakpoint θ = 0.4.

Table 2. Power when ϕ(x) = 2 sin(x), ϕ^{1}(x) = 2 sin(βx), and ψ = 1 with different breakpoints θ.

Lastly, (see [12], Theorem 2.12.1)

converges in distribution to a vector of tight Gaussian processes on with zero means and covariances

and

.

It follows that converges in distribution to Г^{0} with respect to the uniform metric, where

Since

We obtain β_{n}→_{D} Г, as n→∞, where

and has covariance given in the statement of Theorem 1. Hence Theorem 1 is proven.

By viewing α_{2n}(x, [ns]) as a strong martingale and using the functional central limit theorem for strong martingales by Ivanoff [13], one can drop the assumption (A5) and get convergence in the Shorohod topology. (see [14]).

Proof of Corollary 3: Assume the alternative Hypothesis (2). Then,

where, for s < θ,

and for,

with

and

.

If Condition (A3) holds for the functions ϕ^{1} and F^{1}, then under the alternative Hypothesis (2),

in the space with the uniform metric, where Г^{11} is a zero-mean Gaussian process. Strong consistency of the statistics ^{n}KS, ^{n}KC, ^{n}MC follows. (See the proof of Theorem 4.1 in [5]).

Proof of Theorem 4: Let

.

By the multivariate CLT, along almost all sequences,

,

is a sum of iid random variables with mean zero and a resulting covariance matrix having entries of the form

which converge, uniformly in (x_{1}, s_{1}) and (x_{2}, s_{2}),

.

Similarly, the corresponding conditional covariance of

converges uniformly to

and the corresponding conditional covariance of converges uniformly to that of Г.

By the multiplier inequalities ([12], Lemma 3.6.7),

where is uniformly distributed on the set of all permutations of and is independent of. In our case, is the collection of functions

.

also,

denotes (uniform) measurable covers with respect to all variables jointly. Using Theorem 1, as in the proof of Theorem 3.6.13 in [12], x_{ n}(x, 1) is Donsker. It follows that ([12], Theorem 2.12.2) x_{n}(x, s) is Donsker, and Theorem 4 for b^{(j)} follows.

Proof of Theorem 5: The proof is similar to that of Theorem 4 but where the limiting covariance of is that of G^{11} instead of Г.

6. Concluding Remarks

In this paper, we have constructed test statistics using

the lower orthants. It is clear (see [12]) that other Donsker classes of functions can be used. Examples are: the collection of the closed balls, or the collection of half-spaces. The method of proof in [5,6,15] could not handle such classes. One can also obtained weak convergence of the weighted version of the process where the weight functions satisfy the Chibisov-O’Reilly conditions (see [5,6], or [16], p. 462).

The simulations show that our tests have good power considering the omnibus nature of the procedure. By avoiding curve estimation (e.g. using kernel methods to estimate f), we are able to provide practical tests for moderate sample sizes.

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NOTES

^{*}Corresponding author.