Testing for Change in Mean of Independent Multivariate Observations with Time Varying Covariance

Mohamed Boutahar (1)

1 IML - Institut de mathématiques de Luminy

We consider a nonparametric CUSUM test for change in the mean of multivariate time series with time varying covariance. We prove that under the null, the test statistic has a Kolmogorov limiting distribution. The asymptotic consistency of the test against a large class of alternatives which contains abrupt, smooth and continuous changes is established. We also perform a simulation study to analyze the size distortion and the power of the proposed test.

Domaines: Statistiques [math.ST]

Mohamed Boutahar. Testing for Change in Mean of Independent Multivariate Observations with Time Varying Covariance. Journal of Probability and Statistics, 2012, 2012, pp.Article ID 969753. ⟨10.1155/2012/969753⟩. ⟨hal-01310688⟩