Choosing the Right Norm for Change Point Detection in Functional Data

Abstract

We consider the problem of detecting a change point in a sequence of mean functions from a functional time series. We propose an $L^1$ norm based methodology and establish its theoretical validity both for classical and for relevant hypotheses. We compare the proposed method with currently available methodology that is based on the $L^2$ and supremum norms. Additionally we investigate the asymptotic behaviour under the alternative for all three methods and showcase both theoretically and empirically that the $L^1$ norm achieves the best performance in a broad range of scenarios. We also propose a power enhancement component that improves the performance of the $L^1$ test against sparse alternatives. Finally we apply the proposed methodology to both synthetic and real data.