Abstract
Test procedures for detection of a change in the distribution of a sequence of independent observations based on empirical characteristic functions are developed and their limit properties are studied. Theoretical results are accompanied by a simulation study.
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The work of the first author was partially supported by grants GAČR 201/03/0945 and MSM 113200008
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Hušková, M., Meintanis, S.G. Change Point Analysis based on Empirical Characteristic Functions. Metrika 63, 145–168 (2006). https://doi.org/10.1007/s00184-005-0008-9
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DOI: https://doi.org/10.1007/s00184-005-0008-9