Change-point analysis for matrix data: the empirical Hankel transform approach

Žikica Lukić () and Bojana Milošević ()
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Žikica Lukić: University of Belgrade
Bojana Milošević: University of Belgrade

Statistical Papers, 2024, vol. 65, issue 9, No 23, 5955-5980

Abstract: Abstract In this study, we introduce the first-of-its-kind class of tests for detecting change-points in the distribution of a sequence of independent matrix-valued random variables. The tests are constructed using the weighted square integral difference of the empirical orthogonally invariant Hankel transforms. The test statistics have a convenient closed-form expression, making them easy to implement in practice. We present their limiting properties and demonstrate their quality through an extensive simulation study. We utilize these tests for change-point detection in cryptocurrency markets to showcase their practical use. The detection of change-points in this context can have various applications in constructing and analyzing novel trading systems.

Keywords: Matrix distributions; Change-point detection; Integral transforms; 62H15; 62P05 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1007/s00362-024-01596-4

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