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Zoekopdracht: faculteit: "FEB" en publicatiejaar: "2006"

AuteurJ.G. de Gooijer
TitelDetecting change-points in multidimensional stochatic processes
TijdschriftComputational Statistics and Data Analysis
Jaargang51
Jaar2006
Nummer3
Pagina's1892-1903
ISSN01679473
FaculteitFaculteit Economie en Bedrijfskunde
Instituut/afd.FEB: Research Institute in Economics and Econometrics Amsterdam (RESAM)
SamenvattingA 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.
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