- Testing for Change in Mean of Independent Multivariate Observations with Time Varying Covariance doi link

Auteur(s): Boutahar Mohamed

(Article) Publié: Alea, vol. 2012 p.Article ID 969753 (2012)

Ref HAL: hal-01310688_v1
DOI: 10.1155/2012/969753
Exporter : BibTex | endNote

We consider a nonparametric CUSUM test for change in the mean of 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.

Commentaires: 17 pages.