Title: Detecting and dating structural breaks in functional data without dimension reduction
Authors: Ozan Sonmez - University of California, Davis (United States) [presenting]
Gregory Rice - University of Waterloo (Canada)
Alexander Aue - UC Davis (United States)
Abstract: Methodology is proposed to uncover structural breaks in functional data that is fully functional in the sense that it does not rely on dimension reduction techniques. A thorough asymptotic theory is developed for a fully functional break detection procedure as well as for a break date estimator, assuming a fixed break size and a shrinking break size. The latter result is utilized to derive confidence intervals for the unknown break date. The main results highlight that the fully functional procedures perform best under conditions when analogous fPCA based estimators are at their worst, namely when the feature of interest is orthogonal to the leading principal components of the data. The theoretical findings are confirmed by means of a Monte Carlo simulation study in finite samples. An application to annual temperature curves illustrates the practical relevance of the proposed fully functional procedure. An R function is also developed for structural break analysis in functional time series, and its functionalities will be discussed.