Real time change-point detection in a nonlinear quantile model

Abstract: Most studies in real time change-point detection either focus on the linear model or use the CUSUM method under classical assumptions on model errors. This paper considers the sequential change-point detection in a nonlinear quantile model. A test statistic based on the CUSUM of the quantile process subgradient is proposed and studied. Under null hypothesis that the model does not change, the asymptotic distribution of the test statistic is determined. Under alternative hypothesis that at some unknown observation there is a change in model, the proposed test statistic converges in probability to $\infty$. These results allow to build the critical regions on open-end and on closed-end procedures. Simulation results, using Monte Carlo technique, investigate the performance of the test statistic, specially for heavy-tailed error distributions. We also compare it with the classical CUSUM test statistic.