Testing for change in mean of independent multivariate observations with time varying covariance (Q764447)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Testing for change in mean of independent multivariate observations with time varying covariance |
scientific article; zbMATH DE number 6014394
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Testing for change in mean of independent multivariate observations with time varying covariance |
scientific article; zbMATH DE number 6014394 |
Statements
Testing for change in mean of independent multivariate observations with time varying covariance (English)
0 references
13 March 2012
0 references
Summary: We consider a nonparametric CUSUM test for change in the mean of a multivariate time series with time varying covariance. We prove that under the null, the test statistic has a Kolmogorov limiting distribution. The asymptotic consistency of the test against a large class of alternatives which contains abrupt, smooth and continuous changes is established. We also perform a simulation study to analyze the size distortion and the power of the proposed test.
0 references
0 references
