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Detecting non-simultaneous changes in means of vectors

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  • Daniela Jarušková

Abstract

Likelihood ratio type test statistics are suggested for detecting changes in means of coordinates of observed random vectors. It is supposed that changes in different coordinates need not to occur at the same time. Under the assumption of no change, asymptotic distributions of the proposed test statistics are given by distributions of maxima of $$\chi ^2$$ χ 2 random fields. High-level exceedance probabilities of non-homogeneous $$\chi ^2$$ χ 2 fields may be applied to get approximate asymptotic critical values. Copyright Sociedad de Estadística e Investigación Operativa 2015

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  • Daniela Jarušková, 2015. "Detecting non-simultaneous changes in means of vectors," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 24(4), pages 681-700, December.
    • Handle: RePEc:spr:testjl:v:24:y:2015:i:4:p:681-700
    DOI: 10.1007/s11749-015-0429-3
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    References listed on IDEAS

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