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A new limit result in change point analysis
Communications in Statistics - Theory and Methods ( IF 0.8 ) Pub Date : 2021-04-26 , DOI: 10.1080/03610926.2021.1910843
Shrief Prince Atya 1 , Abdalla Abdel-Ghaly 1 , Rasha Ebaid 2
Affiliation  

Abstract

Change points are abrupt changes in time ordered data. The cumulative sum (CUSUM) test statistic is an important statistic for testing for a change point. In this article, we prove a functional central limit theorem for heterogeneous α-mixing triangular array in D[0,1] assuming a Riemann integrable variance function. We investigate the asymptotic behavior of the CUSUM statistic under the null and alternative hypotheses through a simulation.



中文翻译:

变化点分析中的新限制结果

摘要

变化点是按时间排序的数据的突然变化。累积和 (CUSUM) 检验统计量是用于检验变化点的重要统计量。在本文中,我们证明了异质α -混合三角阵列的泛函中心极限定理[0,1个]假设黎曼可积方差函数。我们通过模拟研究原假设和备择假设下 CUSUM 统计量的渐近行为。

更新日期:2021-04-26
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