Group LASSO for Change-points in Functional Time Series

Abstract

Multiple change-points estimation for functional time series is studied in this paper. The change-point problem is first transformed into a high-dimensional sparse estimation problem via basis functions. Group least absolute shrinkage and selection operator (LASSO) is then applied to estimate the number and the locations of possible change points. However, the group LASSO (GLASSO) always overestimate the true points. To circumvent this problem, a further Information Criterion (IC) is applied to eliminate the redundant estimated points. It is shown that the proposed two-step procedure estimates the number and the locations of the change-points consistently. Simulations and two temperature data examples are also provided to illustrate the finite sample performance of the proposed method.