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factorcpt

swMATH ID: 18260
Software Authors: Matteo Barigozzi, Haeran Cho, Piotr Fryzlewicz
Description: Simultaneous multiple change-point and factor analysis for high-dimensional time series. We propose the first comprehensive treatment of high-dimensional time series factor models with multiple change-points in their second-order structure. We operate under the most flexible definition of piecewise stationarity, and estimate the number and locations of change-points consistently as well as identifying whether they originate in the common or idiosyncratic components. Through the use of wavelets, we transform the problem of change-point detection in the second-order structure of a high-dimensional time series, into the (relatively easier) problem of change-point detection in the means of high-dimensional panel data. Our methodology circumvents the difficult issue of the accurate estimation of the true number of factors by adopting a screening procedure. In extensive simulation studies, we show that factor analysis prior to change-point detection improves the detectability of change-points, and identify and describe an interesting ’spillover’ effect in which substantial breaks in the idiosyncratic components get, naturally enough, identified as change-points in the common components, which prompts us to regard the corresponding change-points as also acting as a form of ’factors’. We introduce a simple graphical tool for visualising the piecewise stationary evolution of the factor structure over time. Our methodology is implemented in the R package factorcpt, available from CRAN.
Homepage: https://cran.r-project.org/web/packages/factorcpt/index.html
Source Code: https://github.com/cran/factorcpt
Dependencies: R
Keywords: piecewise stationary factor model; change-point detection; principal component analysis; wavelet transformation; Double CUSUM Binary Segmentation; financial crisis; Brexit
Related Software: wbs; basta; R; FreSpeD; CRAN; breakfast; ecp; changepoint; GraphScope; StFinMetrics; Brain Connectivity Toolbox; astsa; haarfisz
Cited in: 13 Publications

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