Change Point Detection with Multivariate Observations Based on Characteristic Functions

DOI10.1007/978-3-319-50986-0_14MaRDI QIDQ4609022zbMATH OpenOpenAlexFDO

Authors Zdeňek 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

change point detectioncharacteristic functionsmultivariate observations

Mathematics Subject Classification ID

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

Cites work

• scientific article; zbMATH DE number 3733065 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• scientific article; zbMATH DE number 2199188 (Why is no real title available?)
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Cited in

(6)

• A symmetry test for functional data via the empirical characteristic functional
• ON MULTIPLE STRUCTURAL BREAKS IN DISTRIBUTION: AN EMPIRICAL CHARACTERISTIC FUNCTION APPROACH
• An empirical-characteristic-function-based change-point test for detection of multiple distributional changes
• Change point analysis for functional data using empirical characteristic functionals
• Off-Line Detection of Multiple Change Points by the Filtered Derivative withp-Value Method
• Change-point methods for multivariate time-series: paired vectorial observations

Describes a project that uses

Uses Software

• mvtnorm

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