A weighted U-statistic based change point test for multivariate time series

DOI10.1007/s00362-022-01341-9zbMath1512.62075OpenAlexW4285797488MaRDI QIDQ6157040

Lihong Wang, Junwei Hu

Publication date: 19 June 2023

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-022-01341-9

zbMATH Keywords

bootstrap methodchange point testweighted Brownian bridgeweighted U-statistic

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15) Nonparametric statistical resampling methods (62G09) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

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