A nonparametric change-point smooth test for dependent sequences

M Boutahar , Laurence Reboul (1)

1 I2M - Institut de Mathématiques de Marseille

In this paper we propose a change-point test for a strictly stationary short-memory sequences. Several cases of dependence are investigated among whose strong mixing and θ-dependence. A simulation study show the good performances of the method.

Mots clés: Smooth test; Schwarz's rule; Strictly stationary process; Strong mixing; θ-dependence

Domaines: Théorie [stat.TH]

M Boutahar, Laurence Reboul. A nonparametric change-point smooth test for dependent sequences. 2024. ⟨hal-03389373v2⟩