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Zbl 0962.62042
Horváth, Lajos; Kokoszka, Piotr; Steinebach, Josef
Testing for changes in multivariate dependent observations with an application to temperature changes. (English)
[J] J. Multivariate Anal. 68, No.1, 96-119 (1999). ISSN 0047-259X

Authors' abstract: We develop procedures for testing for changes in the mean of multivariate $m$-dependent stationary processes. Several test statistics are considered and corresponding limit theorems are derived. These include functional and Darling-Erd\H{o}s type limit theorems. The tests are shown to be consistent under alternatives of abrupt and gradual changes in the mean. Finite sample performance is examined by means of a simulation study, and the procedures are applied to the analysis of the average monthly temperatures in Prague.
[Jean-Claude Massé (Quebec)]

MSC 2000:: *62G10 Nonparametric hypothesis testing
62M07 Non-Markovian processes: hypothesis testing
62M30 Statistics of spatial processes
62P12 Applications to environmental and related topics

Keywords: change-point tests; multivariate stationary processes; temperature changes

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