Testing for changes using permutations of U-statistics

DOI10.1016/J.JSPI.2004.01.001MaRDI QIDQ707047zbMATH OpenOpenAlexFDO

Authors Lajos Horváth, Marie Hušková

Publication date 9 February 2005

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.2004.01.001

zbMATH Keywords

U-statisticsBrownian bridgeChange-pointPermutationsWeighted approximation

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Nonparametric statistical resampling methods (62G09) Hypothesis testing in multivariate analysis (62H15)

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• A Martingale Inequality and the Law of Large Numbers
• Invariance principles for changepoint problems
• Limit theorems for rank statistics
• On the power of nonparametric changepoint-tests
• Optimal bounds for the Prokhorov distance of the Miller - Sen process and Brownian motion
• Permutation tests for multiple changes.
• Permutation tests in change point analysis
• Rates of convergence for U-statistic processes and their bootstrapped versions

Cited in

(21)

• Bootstrap and permutation tests of independence for point processes
• Change-point analysis using logarithmic quantile estimation
• \(U\)-statistics for change under alternatives
• Permutation tests for multiple changes.
• Multiscale change point detection via gradual bandwidth adjustment in moving sum processes
• On change-points tests based on two-samples \(U\)-statistics for weakly dependent observations
• A Cramér-von Mises test for a class of mean time dependent CHARN models with application to change-point detection
• Extensions of some classical methods in change point analysis
• Some nonparametric tests for change-point detection based on the \(\mathbb{P}\)-\(\mathbb{P}\) and \(\mathbb{Q}\)-\(\mathbb{Q}\) plot processes
• Strong approximation of multidimensional \(\mathbb P\)-\(\mathbb P\) plots processes by Gaussian processes with applications to statistical tests
• Permutation principles for the change analysis of stochastic processes under strong invariance
• Multivariate Kendall's tau for change-point detection in copulas
• Asymptotic behaviour of a test statistic for detection of change in mean of vectors
• Random Walks with Drift – A Sequential Approach
• Asymptotic properties of pseudo maximum likelihood estimators and test in semi-parametric copula models with multiple change points
• Multiple change-point estimation with U-statistics
• Model-based control charts in phase 1 statistical process control
• Inference of change-point in single index models
• Consistent nonparametric tests for detecting gradual changes in the marginals and the copula of multivariate time series
• Dependent multiplier bootstraps for non-degenerate U-statistics under mixing conditions with applications
• Permutation tests in change point analysis

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