A Darling–Erdős-type CUSUM-procedure for functional data

Leonid Torgovitski ()

Metrika: International Journal for Theoretical and Applied Statistics, 2015, vol. 78, issue 1, 27 pages

Abstract: The focus of the paper is nonparametric detection of changes in the mean of $$m$$ m -dependent stationary functional data via a cumulative sum (CUSUM) procedure. We consider a projection-based quasi-maximum likelihood CUSUM-procedure which relies on a Darling–Erdős-type limit theorem. Under mild moment assumptions we investigate the asymptotic properties under the null hypothesis and show consistency under the alternatives of either an abrupt or a gradual change in the mean. The finite sample behavior is illustrated in a small simulation study including an application to temperature data from Hohenpeißenberg (Bavaria, Germany). Copyright Springer-Verlag Berlin Heidelberg 2015

Keywords: Change-point test; CUSUM; Functional data analysis; Nonparametric; Darling–Erdős (search for similar items in EconPapers)
Date: 2015
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Persistent link: https://EconPapers.repec.org/RePEc:spr:metrik:v:78:y:2015:i:1:p:1-27

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DOI: 10.1007/s00184-014-0487-7

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