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Article Dans Une Revue Journal of Time Series Analysis Année : 2023

Multi-purpose open-end monitoring procedures for multivariate observations based on the empirical distribution function

Mark Holmes
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Alex Verhoijsen
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  • PersonId : 1299237

Résumé

We propose nonparametric 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.
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Dates et versions

hal-04258045 , version 1 (25-10-2023)

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  • HAL Id : hal-04258045 , version 1

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Mark Holmes, Ivan Kojadinovic, Alex Verhoijsen. Multi-purpose open-end monitoring procedures for multivariate observations based on the empirical distribution function. Journal of Time Series Analysis, In press. ⟨hal-04258045⟩
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