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Detecting non-simultaneous changes in means of vectors

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Abstract

Likelihood ratio type test statistics are suggested for detecting changes in means of coordinates of observed random vectors. It is supposed that changes in different coordinates need not to occur at the same time. Under the assumption of no change, asymptotic distributions of the proposed test statistics are given by distributions of maxima of \(\chi ^2\) random fields. High-level exceedance probabilities of non-homogeneous \(\chi ^2\) fields may be applied to get approximate asymptotic critical values.

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Authors and Affiliations

  1. Czech Technical University, Prague, Czech Republic

    Daniela Jarušková

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  1. Daniela Jarušková
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Correspondence to Daniela Jarušková.

Additional information

This work was supported by Grant GAČR 403-15-09663S.

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Jarušková, D. Detecting non-simultaneous changes in means of vectors. TEST 24, 681–700 (2015). https://doi.org/10.1007/s11749-015-0429-3

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  • DOI: https://doi.org/10.1007/s11749-015-0429-3

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