کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
416682 | 681393 | 2006 | 12 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Detecting change-points in multidimensional stochastic processes Detecting change-points in multidimensional stochastic processes](/preview/png/416682.png)
A general test statistic for detecting change-points in multidimensional stochastic processes with unknown parameters is proposed. The test statistic is specialized to the case of detecting changes in sequences of covariance matrices. Large-sample distributional results are presented for the test statistic under the null hypothesis of no-change. The finite-sample properties of the test statistic are compared with two other test statistics proposed in the literature. Using a binary segmentation procedure, the potential of the various test statistics is investigated in a multidimensional setting both via simulations and the analysis of a real life example. In general, all test statistics become more effective as the dimension increases, avoiding the determination of too many “incorrect” change-point locations in a one-dimensional setting.
Journal: Computational Statistics & Data Analysis - Volume 51, Issue 3, 1 December 2006, Pages 1892–1903