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

DOI10.1155/2012/969753MaRDI QIDQ764447zbMATH OpenOpenAlexWikidataFDO

Authors Mohamed Boutahar

Publication date 13 March 2012

Published in Journal of Probability and Statistics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1155/2012/969753

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)

Recommendations

• Testing and estimating change-points in time series
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Cites work

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• scientific article; zbMATH DE number 3340810 (Why is no real title available?)
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• Estimating and Testing Structural Changes in Multivariate Regressions
• Identification of Persistent Cycles in Non-Gaussian Long-Memory Time Series
• Least squares estimates in stochastic regression models with applications to identification and control of dynamic systems
• Likelihood Ratio Tests for a Change in the Multivariate Normal Mean
• Local Convergence of Martingales and the Law of Large Numbers
• On tests for detecting change in mean when variance is unknown
• On the Likelihood Ratio Test for a Shift in Location of Normal Populations
• Some One-Sided Tests for Change in Level
• Specification, estimation, and evaluation of smooth transition autoregressive models
• Testing a Sequence of Observations for a Shift in Location
• Testing for change points in time series
• Testing for changes in multivariate dependent observations with an application to temperature changes
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• The effect of serial correlation on tests for parameter change at unknown time

Cited in

(8)

• Accurate tests and intervals based on multivariate CUSUM statistics
• Testing for change in mean for associated random variables
• Moving estimates test with time varying bandwidth
• A nonparametric test for multiple changes in the mean of independent random series
• A weighted U-statistic based change point test for multivariate time series
• Consistent nonparametric change point detection combining CUSUM and marked empirical processes
• Consistent nonparametric tests for detecting gradual changes in the marginals and the copula of multivariate time series
• Nonparametric tests for a change in the coefficient of variation

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