The network autoregressive model is a super high-dimensional time series model that can fully explain social relationships. This model can fully reflect the complex relationships in reality. Therefore, it plays a vital role in detecting the inflection point problem of this network autoregressive model for economics and finance. In this paper, we proposed the change-point problem of detecting network autoregressive models using empirical likelihood statistics based on the expected error term of the switching rule being 0, using the empirical likelihood method. Moreover, the asymptotic null distribution of the proposed empirical likelihood statistic was investigated. Simulation studies based on different settings were considered, and the results showed that the power of test statistics is significant. In the end, the Chinese stock market was investigated to demonstrate the significance of the proposed method.
Citation: Jingjing Yang, Weizhong Tian, Chengliang Tian, Sha Li, Wei Ning. Empirical likelihood method for detecting change points in network autoregressive models[J]. AIMS Mathematics, 2024, 9(9): 24776-24795. doi: 10.3934/math.20241206
The network autoregressive model is a super high-dimensional time series model that can fully explain social relationships. This model can fully reflect the complex relationships in reality. Therefore, it plays a vital role in detecting the inflection point problem of this network autoregressive model for economics and finance. In this paper, we proposed the change-point problem of detecting network autoregressive models using empirical likelihood statistics based on the expected error term of the switching rule being 0, using the empirical likelihood method. Moreover, the asymptotic null distribution of the proposed empirical likelihood statistic was investigated. Simulation studies based on different settings were considered, and the results showed that the power of test statistics is significant. In the end, the Chinese stock market was investigated to demonstrate the significance of the proposed method.
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