A new limit result in change point analysis

Shrief Prince Atya, Abdalla Abdel-Ghaly and Rasha Ebaid

Communications in Statistics - Theory and Methods, 2023, vol. 52, issue 1, 196-207

Abstract: Change points are abrupt changes in time ordered data. The cumulative sum (CUSUM) test statistic is an important statistic for testing for a change point. In this article, we prove a functional central limit theorem for heterogeneous α-mixing triangular array in D[0,1] assuming a Riemann integrable variance function. We investigate the asymptotic behavior of the CUSUM statistic under the null and alternative hypotheses through a simulation.

Date: 2023
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DOI: 10.1080/03610926.2021.1910843

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