Testing for Change in Mean of Independent Multivariate Observations with Time Varying Covariance. (29th February 2012)

• Record Type: Journal Article
• Authors: Boutahar, Mohamed
• Other Names: Tang Man Lai Academic Editor.
• Is Part Of: Journal of probability and statistics. Volume 2012(2012)
• Publication Date: 2012-02-29
• Subjects: Probabilities -- Periodicals; Mathematical statistics -- Periodicals; Mathematical statistics; Probabilities; Periodicals; 519
• DOI: 10.1155/2012/969753
• Languages: English
• ISSNs: 1687-952X

Abstract

Abstract : 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.