Asymptotic properties of the gauge of step-indicator saturation

Working paper

We investigate the asymptotic properties of Step-indicator Saturation which is an algorithm to handle unmodelled location shifts in time series. We consider a stylized version of the algorithm that uses the split-half approach. We present asymptotic convergence and distribution results on the gauge of the algorithm which is the frequency of falsely retained step-indicators when the data generating process has no shifts. The proofs rely on empirical process results of temporal differences of residuals. Our results offer an asymptotic justification to use the gauge in choosing the tuning parameter of this statistical procedure.

Authors: Nielsen, B; Qian, M

• Peer review status: Not peer reviewed
• Publication date: 2018-04-09
• Language: English
• Keywords: SBTMR