A1549
Title: Change point analysis with irregular signals
Authors: Tobias Kley - Georg-August-Universitaet Goettingen (Germany) [presenting]
Yuhan Philip Liu - University of Chicago (United States)
Hongyuan Cao - Florida State University (United States)
Wei Biao Wu - University of Chicago (United States)
Abstract: The problem of testing and estimating change point is considered, where signals after the change point can be highly irregular, which departs from the existing literature that assumes signals after the change point to be piece-wise constant or vary smoothly. A two-step approach is proposed to effectively estimate the location of the change point. The first step consists of a preliminary estimation of the change point that allows the obtainment of unknown parameters for the second step. In the second step, a new procedure is used to determine the position of the change point. It is shown that, under suitable conditions, the desirable $\mathcal{O}_P(1)$ rate of convergence of the estimated change point can be obtained. The method is applied to analyze the Baidu search index of COVID-19 related symptoms, and 8 December 2019 is found to be the starting date of the COVID-19 pandemic.
