Related papers: Change-point tests under local alternatives for lo…
We present a review of several results concerning the construction of the Cramer-von Mises and Kolmogorov-Smirnov type goodness-of-fit tests for continuous time processes. As the models we take a stochastic differential equation with small…
We investigate the significance of change-points within fully nonparametric regression contexts, with a particular focus on panel data where data generation processes vary across units, and error terms may display complex dependency…
The aim of this paper is first the detection of multiple abrupt changes of the long-range dependence (respectively self-similarity, local fractality) parameters from a sample of a Gaussian stationary times series (respectively time series,…
Change in the coefficients or in the mean of the innovation distribution of an INAR(p) process is a sign of disturbance that is important to detect. The methods of this paper can test for change in any one of these quantities separately, or…
This paper proposes approaches for the analysis of multiple changepoint models when dependency in the data is modelled through a hierarchical Gaussian Markov random field. Integrated nested Laplace approximations are used to approximate…
The cumulative sum (CUSUM) process is often used in change point analysis to detect changes in the mean of sequentially observed data. We provide a full description of the asymptotic distribution of $L^p, 1\leq p <\infty$, functionals of…
The sub-Gaussian stable distribution is a heavy-tailed elliptically contoured law which has interesting applications in signal processing and financial mathematics. This work addresses the problem of feasible estimation of distributions. We…
There is a wide literature on change point tests, but the case of variables with infinite variances is essentially unexplored. In this paper we address this problem by studying the asymptotic behavior of trimmed CUSUM statistics. We show…
We introduce a robust estimator of the location parameter for the change-point in the mean based on the Wilcoxon statistic and establish its consistency for $L_1$ near epoch dependent processes. It is shown that the consistency rate depends…
Simultaneously monitoring changes in both the mean and variance is a fundamental problem in Statistical Process Control, and numerous methods have been developed to address it. However, many existing approaches face notable limitations:…
This paper investigates change-point of variance in panel data models with time series of $\alpha$-mixing. Based on the cumulative sum (CUSUM) method and the individual differences, we construct a CUSUM test for panel data models to detect…
Conditional local independence is an asymmetric independence relation among continuous time stochastic processes. It describes whether the evolution of one process is directly influenced by another process given the histories of additional…
This article aims to consider a new univariate nonparametric cumulative sum (CUSUM) control chart for small shift of location based on both change-point model and Mann-Whitney statistic. Some comparisons on the performances of the proposed…
The nonparametric test for change-point detection proposed by Gombay and Horv\'ath is revisited and extended in the broader setting of empirical process theory. The resulting testing procedure for potentially multivariate observations is…
In preliminary analysis of control charts, one may encounter multiple shifts and/or outliers especially with a large number of observations. The following paper addresses this problem. A statistical model for detecting and estimating…
We consider large non-Hermitian random matrices $X$ with complex, independent, identically distributed centred entries and show that the linear statistics of their eigenvalues are asymptotically Gaussian for test functions having…
Change point analysis has applications in a wide variety of fields. The general problem concerns the inference of a change in distribution for a set of time-ordered observations. Sequential detection is an online version in which new data…
In this work, we introduce statistical testing under distributional shifts. We are interested in the hypothesis $P^* \in H_0$ for a target distribution $P^*$, but observe data from a different distribution $Q^*$. We assume that $P^*$ is…
We consider the goodness of fit testing problem for ergodic diffusion processes. The basic hypothesis is supposed to be simple. The diffusion coefficient is known and the alternatives are described by the different trend coefficients. We…
Change-point models are widely used by statisticians to model drastic changes in the pattern of observed data. Least squares/maximum likelihood based estimation of change-points leads to curious asymptotic phenomena. When the change-point…