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Testing for changes in multivariate dependent observations with an application to temperature changes. (English) Zbl 0962.62042

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-Erdős 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.

MSC:

62G10 Nonparametric hypothesis testing
62M07 Non-Markovian processes: hypothesis testing
62M30 Inference from spatial processes
62P12 Applications of statistics to environmental and related topics
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References:

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