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

Abstract : 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.
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Article dans une revue
Journal of Probability and Statistics, 2012, 2012, pp.Article ID 969753. <10.1155/2012/969753>
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Soumis le : mardi 3 mai 2016 - 08:30:03
Dernière modification le : mercredi 4 mai 2016 - 01:07:00

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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>

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