Multi-purpose open-end monitoring procedures for multivariate observations based on the empirical distribution function - Université de Pau et des Pays de l'Adour
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

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.

Dates et versions

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

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Citer

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, 2023, 45 (1), pp.27-56. ⟨10.1111/jtsa.12683⟩. ⟨hal-04258045⟩
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