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

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.