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Testing for Changes in Multivariate Dependent Observations with an Application to Temperature Changes

✍ Scribed by Lajos Horváth; Piotr Kokoszka; Josef Steinebach

Publisher
Elsevier Science
Year
1999
Tongue
English
Weight
201 KB
Volume
68
Category
Article
ISSN
0047-259X

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✦ Synopsis

We develop procedures for testing for changes in the mean of multivariate m-dependent stationary processes. Several test statistics are considered and corresponding limit theorems are derived. These include functional and Darling Erdo s 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.

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