Detecting shifts in functions of multivariate location and covariance parameters

DOI10.1016/0378-3758(92)90070-9zbMath0781.62052OpenAlexW2002057006MaRDI QIDQ1205461

Doyle L. Hawkins

Publication date: 1 April 1993

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

Full work available at URL: https://doi.org/10.1016/0378-3758(92)90070-9

zbMATH Keywords

Monte Carlo studyweak invariance principlecovariance matrixunion-intersection principlemean vectorasymptotic theory of \(U\)-statisticscovariance estimatesmonitoring for shiftsquadratic forms in split-sample mean

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic distribution theory in statistics (62E20) Monte Carlo methods (65C05) Sequential statistical analysis (62L10)

Related Items (11)

Information Approach for the Change-Point Detection in the Skew Normal Distribution and Its Applications ⋮ Modified information criterion for linear regression change-point model with its applications ⋮ Likelihood procedure for testing changes in skew normal model with applications to stock returns ⋮ Empirical likelihood ratio test for a mean change point model with a linear trend followed by an abrupt change ⋮ Detection of multiple change-points in multivariate data ⋮ Detecting changes in linear regression models with skew normal errors ⋮ Some statistical aspects of methods for detection of turning points in business cycles ⋮ Statistical inference of covariance change points in gaussian model ⋮ Change Point Analysis for Generalized Lambda Distribution ⋮ Confidence distributions for skew normal change-point model based on modified information criterion ⋮ Change-Point Detection for Variance Piecewise Constant Models

Cites Work

• Some asymptotic properties of a progressively censored nonparametric test for multiple regression
• Detecting a Change in the Correlation Coefficient in a Sequence of Bivariate Normal Variables
• Sequential procedures for monltoring the parameters of the autoregressive model relative to unspecified targets
• Robust Methods for Detection of Shifts of the Innovation Variance of a Time Series
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