p-Variation of CUSUM process and testing change in the mean

被引：2

作者：

Danielius, Tadas ^{[1
]}

Rackauskas, Alfredas ^{[1
]}

机构：

[1] Vilnius Univ, Inst Appl Math, Naugarduko St 24, LT-03225 Vilnius, Lithuania

来源：

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION | 2023年 / 52卷 / 01期

关键词：

Change-point; CUSUM process; p-Variation;

D O I：

10.1080/03610918.2020.1844899

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We propose and investigate a new test of model instability in the mean. The test is based on p-variation of stepwise CUSUM process. We establish a limiting distribution of the test statistics under null as well as under contiguous alternative.

引用

页码：43 / 55

页数：13

共 13 条

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[4]

Chen J., 2012, Parametric statistical change point analysis: with applications to genetics, medicine, and finance, Vsecond, DOI [10.1007/978-0-8176-4801-5, DOI 10.1007/978-0-8176-4801-5]

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