TITLE:
Changepoint Analysis by Modified Empirical Likelihood Method in Two-phase Linear Regression Models
AUTHORS:
Hualing Zhao, Hanfeng Chen, Wei Ning
KEYWORDS:
Changepoint; Extreme-Value Distribution; Modified Empirical Likelihood Ratio; Segmented Linear Regression
JOURNAL NAME:
Open Journal of Applied Sciences,
Vol.3 No.1B1,
July
11,
2013
ABSTRACT: A changepoint in statistical applications refers to an
observational time point at which the structure pattern changes during a
somewhat long-term experimentation process. In many cases, the change point
time and cause are documented and it is reasonably straightforward to statistically
adjust (homogenize) the series for the effects of the changepoint. Sadly many
changepoint times are undocumented and the changepoint times themselves are the
main purpose of study. In this article, the changepoint analysis in two-phrase
linear regression models is developed and discussed. Following Liu and Qian
(2010)'s idea in the segmented linear regression models, the modified empirical
likelihood ratio statistic is proposed to test if there exists a changepoint
during the long-term experiment and observation. The modified empirical
likelihood ratio statistic is computation-friendly and its ρ-value can be easily approximated based on
the large sample properties. The procedure is applied to the Old
Faithful geyser eruption data in October 1980.