Real-time changepoint detection in a nonlinear expectile model

Abstract

AbstractAn online changepoint detection procedure based on conditional expectiles is introduced. The key contribution is threefold: nonlinearity of the underlying model improves the overall flexibility while a parametric form of the unknown regression function preserves a simple and straightforward interpretation; The conditional expectiles, well-known in econometrics for being the only coherent and elicitable risk measure, introduce additional robustness—especially with respect to asymmetric error distributions common in various types of data; The proposed statistical test is proved to be consistent and the distribution under the null hypothesis does not depend on the functional form of the underlying model nor the unknown parameters. Empirical properties of the proposed real-time changepoint detection test are investigated in a simulation study and a practical applicability is illustrated using the Covid-19 prevalence data from Prague.