Testing for Changes in Multivariate Dependent Observations with an Application to Temperature Changes
Piotr Kokoszka and
Journal of Multivariate Analysis, 1999, vol. 68, issue 1, 96-119
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)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:68:y:1999:i:1:p:96-119
Ordering information: This journal article can be ordered from
https://shop.elsevie ... _01_ooc_1&version=01
Access Statistics for this article
Journal of Multivariate Analysis is currently edited by de Leeuw, J.
More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().