Are deviations in a gradually varying mean relevant? A testing approach based on sup-norm estimators

Classical change point analysis aims at (1) detecting abrupt changes in the mean of a possibly non-stationary time series and at (2) identifying regions where the mean exhibits a piecewise constant behavior. In many applications however, it is more reasonable to assume that the mean changes gradually in a smooth way. Those gradual changes may either be non-relevant (i.e., small), or relevant for a specific problem at hand, and the present paper presents statistical methodology to detect the latter. More precisely, we consider the common nonparametric regression model $X_{i} = μ(i/n) + \varepsilon_{i}$ with possibly non-stationary errors and propose a test for the null hypothesis that the maximum absolute deviation of the regression function $μ$ from a functional $g (μ)$ (such as the value $μ(0)$ or the integral $\int_{0}^{1} μ(t) dt$) is smaller than a given threshold on a given interval $[x_{0},x_{1}] \subseteq [0,1]$. A test for this type of hypotheses is developed using an appropriate estimator, say $\hat d_{\infty, n}$, for the maximum deviation $d_{\infty}= \sup_{t \in [x_{0},x_{1}]} |μ(t) - g( μ) |$. We derive the limiting distribution of an appropriately standardized version of $\hat d_{\infty,n}$, where the standardization depends on the Lebesgue measure of the set of extremal points of the function $μ(\cdot)-g(μ)$. A refined procedure based on an estimate of this set is developed and its consistency is proved. The results are illustrated by means of a simulation study and a data example.

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