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Detecting changes in a multivariate renewal process

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Abstract

Some recent extreme value asymptotics for multivariate renewal processes are used to derive an asymptotic changepoint test. This test is proven to be consistent in the multivariate framework where we assume that at most one change (AMOC) occurrs in any of the component renewal processes. Since the actual covariance structure is often unknown, we also suggest an appropriate estimate.

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Authors and Affiliations

  1. Fachbereich Mathematik, Philipps-Universität, Hans-Meerwein-Strasse, 35032, Marburg, Germany

    Josef Steinebach

  2. Department of Mathematics and Statistics, Acadia University, B0P 1X0, Wolfville, N. S., Canada

    Vera R. Eastwood

  3. Department of Statistics, University of Auckland, Private Bag 91092, 1001, Auckland, New Zealand

    Vera R. Eastwood

Authors
  1. Josef Steinebach
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  2. Vera R. Eastwood
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Additional information

This research was partially supported by an Auckland University Research Grant and by a travel grant of the Deutsche Forschungsgemeinschaft.

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Steinebach, J., Eastwood, V.R. Detecting changes in a multivariate renewal process. Metrika 46, 1–19 (1997). https://doi.org/10.1007/BF02717162

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  • DOI: https://doi.org/10.1007/BF02717162

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