Change Point Detection with Multivariate Observations Based on Characteristic Functions

DOI10.1007/978-3-319-50986-0_14OpenAlexW2766633114MaRDI QIDQ4609022

Zdeněk Hlávka, Marie Hušková, Simos G. Meintanis

Publication date: 29 March 2018

Published in: From Statistics to Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-50986-0_14

zbMATH Keywords

characteristic functionsmultivariate observationschange point detection

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Hypothesis testing in multivariate analysis (62H15) Non-Markovian processes: hypothesis testing (62M07)

Related Items (2)

ON MULTIPLE STRUCTURAL BREAKS IN DISTRIBUTION: AN EMPIRICAL CHARACTERISTIC FUNCTION APPROACH ⋮ Change-point methods for multivariate time-series: paired vectorial observations

Uses Software

• mvtnorm

Cites Work

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