Testing for Change in Mean of Independent Multivariate Observations with Time Varying Covariance
Author
Source
Journal of Probability and Statistics
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-17, 17 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-02-29
Country of Publication
Egypt
No. of Pages
17
Main Subjects
Abstract EN
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.
American Psychological Association (APA)
Boutahar, Mohamed. 2012. Testing for Change in Mean of Independent Multivariate Observations with Time Varying Covariance. Journal of Probability and Statistics،Vol. 2012, no. 2012, pp.1-17.
https://search.emarefa.net/detail/BIM-512300
Modern Language Association (MLA)
Boutahar, Mohamed. Testing for Change in Mean of Independent Multivariate Observations with Time Varying Covariance. Journal of Probability and Statistics No. 2012 (2012), pp.1-17.
https://search.emarefa.net/detail/BIM-512300
American Medical Association (AMA)
Boutahar, Mohamed. Testing for Change in Mean of Independent Multivariate Observations with Time Varying Covariance. Journal of Probability and Statistics. 2012. Vol. 2012, no. 2012, pp.1-17.
https://search.emarefa.net/detail/BIM-512300
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-512300