A nonparametric test for the change of the density function in strong mixing processes

Sangyeol Lee and Seongryong Na

Statistics & Probability Letters, 2004, vol. 66, issue 1, 25-34

Abstract: In this paper, we consider the problem of testing for a change of the marginal density of a strong mixing process. The test statistic is constructed based on the sequential kernel estimate. In order to derive the asymptotic distribution of the test statistic, we first show that a functional central limit theorem holds for the sequential density estimator under some regularity conditions. Based on the result, we show that the limiting distribution of the test statistic is a function of independent Brownian bridges.

Keywords: A; change; point; problem; Sequential; density; estimate; Strong; mixing; processes; Functional; central; limit; theorem (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (5)

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