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

Lajos Horvath, Piotr Kokoszka and Josef Steinebach

Journal of Multivariate Analysis, 1999, vol. 68, issue 1, 96-119

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.

Keywords: change-point; tests; multivariate; stationary; processes; temperature; changes (search for similar items in EconPapers)
Date: 1999
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Handle: RePEc:eee:jmvana:v:68:y:1999:i:1:p:96-119