Structural Change-Point Detection for Time Series via Support Vector Regression and Self-Normalization Method

This study considers the change-point test problem for time series based on the self-normalization ratio statistic test, which is constructed using residuals obtained from a support vector regression (SVR)-autoregressive moving average (ARMA) model. Under the null hypothesis, the series is a stationary process, and our test statistic converges to a non-degenerate distribution. Under the alternative hypothesis, there are change-points in the time series, and the self-normalization test statistic diverges to infinity. The simulations show that our proposed new test has better finite sample performance than other SVR-based tests in the literature. Finally, we illustrate its usefulness by analyzing two actual data sets.