A weighted U-statistic based change point test for multivariate time series

DOI10.1007/S00362-022-01341-9MaRDI QIDQ6157040zbMATH OpenOpenAlexFDO

Authors Junwei Hu, Lihong Wang

Publication date 19 June 2023

Published in Statistical Papers (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00362-022-01341-9

zbMATH Keywords

bootstrap methodchange point testweighted Brownian bridgeweighted U-statistic

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Nonparametric statistical resampling methods (62G09) Hypothesis testing in multivariate analysis (62H15) Non-Markovian processes: hypothesis testing (62M07)

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Cites work

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Cited in

(4)

• Change-point detection based on weighted two-sample U-statistics
• A general procedure for change-point detection in multivariate time series
• A sequential feature selection approach to change point detection in mean-shift change point models
• Robust change-point detection for functional time series based on \(U\)-statistics and dependent wild bootstrap

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