Abstrakt
Linear relations, containing measurement errors in input and output data, are considered. Parameters of these so-called errors-in-variables models can change at some unknown moment.
The aim is to test whether such an unknown change has occurred or not. For instance, detecting a change in trend for a randomly spaced time series is a special case of the investigated framework.
The designed changepoint tests are shown to be consistent and involve neither nuisance parameters nor tuning constants, which makes the testing procedures effortlessly applicable. A changepoint estimator is also introduced and its consistency is proved.
A boundary issue is avoided, meaning that the changepoint can be detected when being close to the extremities of the observation regime. As a theoretical basis for the developed methods, a weak invariance principle for the smallest singular value of the data matrix is provided, assuming weakly dependent and non-stationary errors.
The results are presented in a simulation study, which demonstrates computational efficiency of the techniques. The completely data-driven tests are illustrated through problems coming from calibration and insurance; however, the methodology can be applied to other areas such as clinical measurements, dietary assessment, computational psychometrics, or environmental toxicology as manifested in the paper.