Asymptotic behaviour of a test statistic for detection of change in mean of vectors

DOI10.1016/J.JSPI.2009.08.004MaRDI QIDQ1044053zbMATH OpenOpenAlexFDO

Authors D. Jarušková

Publication date 10 December 2009

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2009.08.004

zbMATH Keywords

change point detectionextremal behaviour of a linear combination of standardized Brownian bridgesmultivariate partial cumulative sum processvectors with correlated components

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

Recommendations

• Detecting non-simultaneous changes in means of vectors
• Detecting change point for a sequence of random vectors under nonnormality
• Change-point detection under dependence based on two-sample \(U\)-statistics
• Estimating non-simultaneous changes in the mean of vectors
• Effect of dependence on statistics for determination of change

Cites work

• Extreme value theory for stochastic integrals of Legendre polynomials
• Gaussian probabilities of large deviation for fixed or increasing dimension
• scientific article; zbMATH DE number 4109935 (Why is no real title available?)
• scientific article; zbMATH DE number 1048663 (Why is no real title available?)
• scientific article; zbMATH DE number 879747 (Why is no real title available?)
• Limit theorems for rank statistics
• On a test statistic for linear trend
• On extremal theory for stationary processes
• Permutation principles for the change analysis of stochastic processes under strong invariance
• Permutation tests in change point analysis
• Probability for Statisticians
• Strong invariance principles for partial sums of independent random vectors
• Testing for changes in multivariate dependent observations with an application to temperature changes
• Testing for changes in polynomial regression
• Testing for changes using permutations of U-statistics

Cited in

(5)

• Piterbarg theorems for chi-processes with trend
• Exact asymptotics and limit theorems for supremum of stationary \(\chi\)-processes over a random interval
• scientific article; zbMATH DE number 418928 (Why is no real title available?)
• Extremes of locally stationary chi-square processes with trend
• Detecting non-simultaneous changes in means of vectors

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