Dimension-agnostic change point detection

Change point testing for high-dimensional data has attracted a lot of attention in statistics, econometrics and machine learning owing to the emergence of high-dimensional data with structural breaks from many fields. In practice, when the dimension is less than the sample size but is not small, it is often unclear whether a method that is tailored to high-dimensional data or simply a classical method that is developed and justified for low-dimensional data is preferred. In addition, the methods designed for low-dimensional data may not work well in the high-dimensional environment and vice versa. In this paper, we propose a dimension-agnostic testing procedure targeting a single change point in the mean of a multivariate weakly dependent time series. Specifically, we can show that the limiting null distribution for our test statistic is the same regardless of the dimensionality and the magnitude of cross-sectional dependence. The power analysis is also conducted to understand the large sample behavior of the proposed test. Through Monte Carlo simulations and a real data illustration, we demonstrate that the finite sample results strongly corroborate the theory and suggest that the proposed test can be used as a benchmark for change-point detection of time series of low, medium, and high dimensions with complex cross-sectional and temporal dependence.