Testing for change in mean of independent multivariate observations with time varying covariance (Q764447)

Summary: We consider a nonparametric CUSUM test for change in the mean of a multivariate time series with time varying covariance. We prove that under the null, the test statistic has a Kolmogorov limiting distribution. The asymptotic consistency of the test against a large class of alternatives which contains abrupt, smooth and continuous changes is established. We also perform a simulation study to analyze the size distortion and the power of the proposed test.