Testing for Change in Mean of Independent Multivariate Observations with Time Varying Covariance

Mohamed Boutahar

Journal of Probability and Statistics, 2012, vol. 2012, 1-17

Abstract:

We consider a nonparametric CUSUM test for change in the mean of multivariate time series with time varying covariance. We prove that under the null, the test statistic has a Kolmogorov limiting distribution. The asymptotic consistency of the test against a large class of alternatives which contains abrupt, smooth and continuous changes is established. We also perform a simulation study to analyze the size distortion and the power of the proposed test.

Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnljps:969753

DOI: 10.1155/2012/969753

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