Multi‐purpose open‐end monitoring procedures for multivariate observations based on the empirical distribution function

DOI10.1111/JTSA.12683arXiv2201.10311OpenAlexW4323319894MaRDI QIDQ6148342FDOQ6148342

Authors: Mark Holmes, Ivan Kojadinovic, Alex Verhoijsen 

Publication date: 11 January 2024

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Abstract: We propose nonparametric open-end sequential testing procedures that can detect all types of changes in the contemporary distribution function of possibly multivariate observations. Their asymptotic properties are theoretically investigated under stationarity and under alternatives to stationarity. Monte Carlo experiments reveal their good finite-sample behavior in the case of continuous univariate, bivariate and trivariate observations. A short data example concludes the work.

Full work available at URL: https://arxiv.org/abs/2201.10311

zbMATH Keywords

change-point detectionasymptotic resultssequential testingopen-end monitoringtheoretical quantile estimation

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic distribution theory in statistics (62E20) Sequential statistical methods (62L99) Inference from stochastic processes (62Mxx)

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