Changepoint Analysis by Modified Empirical Likelihood Method in Two-phase Linear Regression Models

摘要

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.