%0 Journal Article
%T Testing for Change in Mean of Independent Multivariate Observations with Time Varying Covariance
%+ Institut de mathÃ©matiques de Luminy (IML)
%A Boutahar, Mohamed
%Z 17 pages.
%< avec comitÃ© de lecture
%@ 1687-952X
%J Journal of Probability and Statistics
%V 2012
%P Article ID 969753
%8 2012
%D 2012
%R 10.1155/2012/969753
%Z 62M10; 62G10, 62G20, 62M07
%Z Mathematics [math]/Statistics [math.ST]Journal articles
%X 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.
%G English
%L hal-01310688
%U https://hal.archives-ouvertes.fr/hal-01310688
%~ CNRS
%~ INSMI
%~ IML
%~ I2M
%~ UNIV-AMU