Consistent multiple testing for change points
نویسندگان
چکیده
منابع مشابه
Testing for Change Points in Time Series
This article considers the CUSUM-based (cumulative sum) test for a change point in a time series. In the case of testing for a mean shift, the traditional Kolmogorov–Smirnov test statistic involves a consistent long-run variance estimator, which is needed to make the limiting null distribution free of nuisance parameters. The commonly used lag-window type long-run variance estimator requires to...
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متن کاملTesting for change points in time series 1
June 4, 2010 Xiaofeng Shao and Xianyang Zhang University of Illinois at Urbana-Champaign Abstract: This article considers the CUSUM-based (cumulative sum) test for a change point in a time series. In the case of testing for a mean shift, the traditional KolmogorovSmirnov test statistic involves a consistent long run variance estimator, which is needed to make the limiting null distribution free...
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ژورنال
عنوان ژورنال: Journal of Multivariate Analysis
سال: 2011
ISSN: 0047-259X
DOI: 10.1016/j.jmva.2011.04.012