Multivariate Normal Model

Jie Chen () and Arjun K. Gupta ()
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Jie Chen: University of Missouri-Kansas City, Department of Mathematics and Statistics
Arjun K. Gupta: Bowling Green State University, Department of Mathematics and Statistics

Chapter Chapter 3 in Parametric Statistical Change Point Analysis, 2012, pp 89-138 from Springer

Abstract: Abstract In Chapter 2, we have discussed the inferences about change point(s) for a univariate normal model in different situations. In this chapter, we investigate change point(s) problems when the underlying distribution is a multivariate normal distribution.

Keywords: Change Point; Multivariate Normal Distribution; Return Series; Vector Change; Asymptotic Null Distribution (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-0-8176-4801-5_3

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DOI: 10.1007/978-0-8176-4801-5_3

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