Detecting non-simultaneous changes in means of vectors

DOI10.1007/S11749-015-0429-3MaRDI QIDQ905099zbMATH OpenOpenAlexFDO

Authors D. Jarušková

Publication date 14 January 2016

Published in Test (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11749-015-0429-3

zbMATH Keywords

asymptotic distributionextremes of \(\chi^2\) random fieldslog-likelihood ratio test statisticsmultiple change point detectionnon-simultaneous changes

Mathematics Subject Classification ID

Gaussian processes (60G15) Asymptotic properties of parametric tests (62F05)

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Cites work

• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
• scientific article; zbMATH DE number 1485432 (Why is no real title available?)
• scientific article; zbMATH DE number 846847 (Why is no real title available?)
• Asymptotic behaviour of a test statistic for detection of change in mean of vectors
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• Exact asymptotics and limit theorems for supremum of stationary \(\chi\)-processes over a random interval
• Exploring the latent segmentation space for the assessment of multiple change-point models
• Extensions of some classical methods in change point analysis
• Inference for single and multiple change-points in time series
• Log-likelihood ratio test for detecting transient change
• Maxima of asymptotically Gaussian random fields and moderate deviation approximations to boundary crossing probabilities of sums of random variables with multidimensional indices
• Model selection for high dimensional multi-sequence change-point problems
• Non-monotonic penalizing for the number of structural breaks
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• Testing for changes in multivariate dependent observations with an application to temperature changes
• Testing for multiple change points
• Testing for structural stability in the whole sample
• Tests for Parameter Instability and Structural Change With Unknown Change Point

Cited in

(7)

• Detecting change point for a sequence of random vectors under nonnormality
• Comparison inequalities for order statistics of Gaussian arrays
• Asymptotic behaviour of a test statistic for detection of change in mean of vectors
• Extremes and limit theorems for difference of chi-type processes
• Estimating non-simultaneous changes in the mean of vectors
• Extremes of stationary random fields on a lattice
• The extremes of dependent chi-processes attracted by the Brown-Resnick process

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