Detecting non-simultaneous changes in means of vectors

• Daniela Jarušková ^[1]
  1. [1] Czech Technical University in Prague

     Czech Technical University in Prague

     Chequia

     
• Localización: Test: An Official Journal of the Spanish Society of Statistics and Operations Research, ISSN-e 1863-8260, ISSN 1133-0686, Vol. 24, Nº. 4, 2015, págs. 681-700
• Idioma: inglés
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• Resumen

  • Likelihood ratio type test statistics are suggested for detecting changes in means of coordinates of observed random vectors. It is supposed that changes in different coordinates need not to occur at the same time. Under the assumption of no change, asymptotic distributions of the proposed test statistics are given by distributions of maxima of χ2 random fields. High-level exceedance probabilities of non-homogeneous χ2 fields may be applied to get approximate asymptotic critical values.