Testing for Changes in Multivariate Dependent Observations with an Application to Temperature Changes
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)
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- Kokoszka, Piotr & Leipus, Remigijus, 1998. "Change-point in the mean of dependent observations," Statistics & Probability Letters, Elsevier, vol. 40(4), pages 385-393, November.
- 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.