On Detecting Multiple Simultaneous Change-points in High Dimensional Non-Stationary Time Series

This paper studies the detection of multiple simultaneous (systematic) change points for high-dimensional nonstantionary economic and financial time series data. The analytic framework used is based on the standard and adaptive fused group lasso method, where the mixed L 2,1 penalty is either uniform or re-weighted by data-dependent weights. This paper shows that, under appropriate conditions, this approach is L 2 consistent and, by adopting the data-dependent weights, could correctly select the change points with probability approaching unity (L 0 consis- tency). It quantifies the conditions on the interplay among the averaged minimum magnitude of structural changes, the number of change points and the number of observations for consistently discovering the change points. The performance of this approach is illustrated via an analysis of a large panel of U.S. economic and financial time series data over the past 50 years.