| Autor: |
Holmes, Mark, Kojadinovic, Ivan, Verhoijsen, Alex |
| Předmět: |
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| Zdroj: |
Journal of Time Series Analysis; Jan2024, Vol. 45 Issue 1, p27-56, 30p |
| Abstrakt: |
We propose non‐parametric open‐end sequential testing procedures that can detect all types of changes in the contemporary distribution function of possibly multivariate observations. Their asymptotic properties are theoretically investigated under stationarity and under alternatives to stationarity. Monte Carlo experiments reveal their good finite‐sample behavior in the case of continuous univariate, bivariate and trivariate observations. A short data example concludes the work. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
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