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

Author

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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.

Suggested Citation

  • Horváth, Lajos & Kokoszka, Piotr & Steinebach, Josef, 1999. "Testing for Changes in Multivariate Dependent Observations with an Application to Temperature Changes," Journal of Multivariate Analysis, Elsevier, vol. 68(1), pages 96-119, January.
    • Handle: RePEc:eee:jmvana:v:68:y:1999:i:1:p:96-119
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    References listed on IDEAS

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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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    Cited by:

    1. Gantner, M., 2010. "Some nonparametric diagnostic statistical procedures and their asymptotic behavior," Other publications TiSEM eb04bdba-bf8a-4f6c-8dd8-9, Tilburg University, School of Economics and Management.
    2. Matúš Maciak & Sebastiano Vitali, 2024. "Using interpolated implied volatility for analysing exogenous market changes," Computational Management Science, Springer, vol. 21(1), pages 1-21, June.
    3. 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.
    4. Hoga, Yannick, 2017. "Monitoring multivariate time series," Journal of Multivariate Analysis, Elsevier, vol. 155(C), pages 105-121.
    5. Elena Andreou & Eric Ghysels, 2002. "Detecting multiple breaks in financial market volatility dynamics," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 579-600.
    6. Liu, Bin & Zhou, Cheng & Zhang, Xinsheng, 2019. "A tail adaptive approach for change point detection," Journal of Multivariate Analysis, Elsevier, vol. 169(C), pages 33-48.
    7. B. Cooper Boniece & Lajos Horv'ath & Lorenzo Trapani, 2023. "On changepoint detection in functional data using empirical energy distance," Papers 2310.04853, arXiv.org.
    8. Bin Liu & Cheng Zhou & Xinsheng Zhang & Yufeng Liu, 2020. "A unified data‐adaptive framework for high dimensional change point detection," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 82(4), pages 933-963, September.
    9. Ayyala, Deepak Nag & Park, Junyong & Roy, Anindya, 2017. "Mean vector testing for high-dimensional dependent observations," Journal of Multivariate Analysis, Elsevier, vol. 153(C), pages 136-155.
    10. Aston, John A.D. & Kirch, Claudia, 2012. "Detecting and estimating changes in dependent functional data," Journal of Multivariate Analysis, Elsevier, vol. 109(C), pages 204-220.
    11. Buddhananda Banerjee & Satyaki Mazumder, 2018. "A more powerful test identifying the change in mean of functional data," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 70(3), pages 691-715, June.
    12. Einmahl, J.H.J. & Gantner, M., 2009. "The Half-Half Plot," Other publications TiSEM 88c03da5-f408-4cd8-a7f9-0, Tilburg University, School of Economics and Management.
    13. Elena Andreou & Eric Ghysels, 2002. "Tests for Breaks in the Conditional Co-movements of Asset Returns," CIRANO Working Papers 2002s-59, CIRANO.
    14. Aue, Alexander & Gabrys, Robertas & Horváth, Lajos & Kokoszka, Piotr, 2009. "Estimation of a change-point in the mean function of functional data," Journal of Multivariate Analysis, Elsevier, vol. 100(10), pages 2254-2269, November.
    15. Wang Lihong, 2003. "Limit theorems in change-point problems with multivariate long-range dependent observations," Statistics & Risk Modeling, De Gruyter, vol. 21(3), pages 283-300, March.
    16. Junwei Hu & Lihong Wang, 2023. "A weighted U-statistic based change point test for multivariate time series," Statistical Papers, Springer, vol. 64(3), pages 753-778, June.
    17. 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.
    18. 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;Sociedad de Estadística e Investigación Operativa, vol. 23(2), pages 219-255, June.
    19. Jean-François Quessy, 2019. "Consistent nonparametric tests for detecting gradual changes in the marginals and the copula of multivariate time series," Statistical Papers, Springer, vol. 60(3), pages 717-746, June.
    20. Leonid Torgovitski, 2015. "A Darling–Erdős-type CUSUM-procedure for functional data," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 78(1), pages 1-27, January.
    21. Florian Stark & Sven Otto, 2020. "Testing and Dating Structural Changes in Copula-based Dependence Measures," Papers 2011.05036, arXiv.org.
    22. 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.

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