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Testing for Changes in Multivariate Dependent Observations with an Application to Temperature Changes

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  • Horváth, Lajos
  • Kokoszka, Piotr
  • Steinebach, Josef

Abstract

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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Bibliographic Info

Article provided by Elsevier in its journal Journal of Multivariate Analysis.

Volume (Year): 68 (1999)
Issue (Month): 1 (January)
Pages: 96-119

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Handle: RePEc:eee:jmvana:v:68:y:1999:i:1:p:96-119

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Related research

Keywords: change-point tests multivariate stationary processes temperature changes;

References

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  1. Steinebach, Josef & Eastwood, Vera R., 1996. "Extreme Value Asymptotics for Multivariate Renewal Processes," Journal of Multivariate Analysis, Elsevier, vol. 56(2), pages 284-302, February.
  2. Kokoszka, Piotr & Leipus, Remigijus, 1998. "Change-point in the mean of dependent observations," Statistics & Probability Letters, Elsevier, vol. 40(4), pages 385-393, November.
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Citations

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Cited by:
  1. Elena Andreou & Eric Ghysels, 2001. "Detecting Mutiple Breaks in Financial Market Volatility Dynamics," CIRANO Working Papers 2001s-65, CIRANO.
  2. Horváth, Lajos & Husková, Marie & Kokoszka, Piotr, 2010. "Testing the stability of the functional autoregressive process," Journal of Multivariate Analysis, Elsevier, vol. 101(2), pages 352-367, February.
  3. Zhou, Jie, 2011. "Maximum likelihood ratio test for the stability of sequence of Gaussian random processes," Computational Statistics & Data Analysis, Elsevier, vol. 55(6), pages 2114-2127, June.
  4. Elena Andreou & Eric Ghysels, 2002. "Tests for Breaks in the Conditional Co-movements of Asset Returns," CIRANO Working Papers 2002s-59, CIRANO.
  5. Lajos Horváth & Gregory Rice, 2014. "Extensions of some classical methods in change point analysis," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 23(2), pages 219-255, June.

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