On change-points tests based on two-samples U-Statistics for weakly dependent observations

Joseph Ngatchou-Wandji (), Echarif Elharfaoui and Michel Harel
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Joseph Ngatchou-Wandji: EHESP Sorbonne Paris Cité & Institut Élie Cartan de Lorraine
Echarif Elharfaoui: Université Chouaîb Doukkali
Michel Harel: INSPÉ Limoges

Statistical Papers, 2022, vol. 63, issue 1, No 12, 287-316

Abstract: Abstract We study change-points tests based on U-statistics for absolutely regular observations. Our method avoids some technical assumptions on the data and the kernel. The asymptotic properties of the U-statistics are studied under the null hypothesis, under fixed alternatives and under a sequence of local alternatives. The asymptotic distributions of the test statistics under the null hypothesis and under the local alternatives are given explicitly and the tests are shown to be consistent. A small set of simulations is done for evaluating the performance of the tests in detecting changes in the mean, variance and autocorrelation of some simple time series.

Keywords: 60F17; 62F03; 62M10 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s00362-021-01242-3

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