We develop procedures for testing for changes in the mean of multivariatem-dependent stationary processes. Several test statistics are considered and corresponding limit theorems are derived. These include functional and Darling-Erdos type limit theorems. The tests are shown to be consistent under alternatives of abrupt and gradual changes in the mean. Finite sample performance is examined by means of a simulation study, and the procedures are applied to the analysis of the average monthly temperatures in Prague.
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Volume (Year): 68 (1999) Issue (Month): 1 (January) Pages: 96-119 Download reference. The following formats are available: HTML
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