Asymptotic behaviour of a test statistic for detection of change in mean of vectors

DOI10.1016/j.jspi.2009.08.004zbMath1177.62078OpenAlexW2029586178MaRDI QIDQ1044053

Daniela Jarušková

Publication date: 10 December 2009

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.2009.08.004

zbMATH Keywords

change point detectionextremal behaviour of a linear combination of standardized Brownian bridgesmultivariate partial cumulative sum processvectors with correlated components

Mathematics Subject Classification ID

Related Items (4)

Detecting non-simultaneous changes in means of vectors ⋮ Exact asymptotics and limit theorems for supremum of stationary \(\chi\)-processes over a random interval ⋮ Extremes of locally stationary chi-square processes with trend ⋮ Piterbarg theorems for chi-processes with trend

Cites Work

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• Testing for changes using permutations of U-statistics
• On extremal theory for stationary processes
• Testing for changes in polynomial regression
• Extreme value theory for stochastic integrals of Legendre polynomials
• Strong invariance principles for partial sums of independent random vectors
• Testing for changes in multivariate dependent observations with an application to temperature changes
• Limit theorems for rank statistics
• On a test statistic for linear trend
• Gaussian probabilities of large deviation for fixed or increasing dimension
• Permutation principles for the change analysis of stochastic processes under strong invariance
• Probability for Statisticians
• Permutation tests in change point analysis

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