Related papers: Tests for scale changes based on pairwise differen…
Consider $d$ dependent change point tests, each based on a CUSUM-statistic. We provide an asymptotic theory that allows us to deal with the maximum over all test statistics as both the sample size $n$ and $d$ tend to infinity. We achieve…
We consider the change-point problem for the marginal distribution of subordinated Gaussian processes that exhibit long-range dependence. The asymptotic distributions of Kolmogorov-Smirnov- and Cram\'{e}r-von Mises type statistics are…
High-dimensional time series are characterized by a large number of measurements and complex dependence, and often involve abrupt change points. We propose a new procedure to detect change points in the mean of high-dimensional time series…
The problem of quickest change detection is studied in the context of detecting an arbitrary unknown mean-shift in multiple independent Gaussian data streams. The James-Stein estimator is used in constructing detection schemes that exhibit…
In this paper we consider the uniformity testing problem for high-dimensional discrete distributions (multinomials) under sparse alternatives. More precisely, we derive sharp detection thresholds for testing, based on $n$ samples, whether a…
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…
In this paper, we consider the problem of (multiple) change-point detection in panel data. We propose the double CUSUM statistic which utilises the cross-sectional change-point structure by examining the cumulative sums of ordered CUSUMs at…
This article considers change point testing and estimation for a sequence of high-dimensional data. In the case of testing for a mean shift for high-dimensional independent data, we propose a new test which is based on $U$-statistic in Chen…
In this paper we study the theoretical properties of the simultaneous multiscale change point estimator (SMUCE) proposed by Frick et al. (2014) in regression models with dependent error processes. Empirical studies show that in this case…
We propose a test for a change in the mean for a sequence of functional observations that are only partially observed on subsets of the domain, with no information available on the complement. The framework accommodates important scenarios,…
We study online changepoint detection in the context of a linear regression model. We propose a class of heavily weighted statistics based on the CUSUM process of the regression residuals, which are specifically designed to ensure timely…
The aim of online monitoring is to issue an alarm as soon as there is significant evidence in the collected observations to suggest that the underlying data generating mechanism has changed. This work is concerned with open-end,…
The distance standard deviation, which arises in distance correlation analysis of multivariate data, is studied as a measure of spread. The asymptotic distribution of the empirical distance standard deviation is derived under the assumption…
Sequential change-point detection plays a critical role in numerous real-world applications, where timely identification of distributional shifts can greatly mitigate adverse outcomes. Classical methods commonly rely on parametric density…
We propose a bootstrap-based test to detect a mean shift in a sequence of high-dimensional observations with unknown time-varying heteroscedasticity. The proposed test builds on the U-statistic based approach in Wang et al. (2022), targets…
New procedures for detecting a change in the cross-sectional mean of panel data are proposed. The procedures rely on estimating nuisance parameters using certain cross-sectional means across panels using a weighted least squares regression.…
Detection of change-points in a sequence of high-dimensional observations is a very challenging problem, and this becomes even more challenging when the sample size (i.e., the sequence length) is small. In this article, we propose some…
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…
Classical measures of inequality use the mean as the benchmark of economic dispersion. They are not sensitive to inequality at the left tail of the distribution, where it would matter most. This paper presents a new inequality measurement…
This paper considers the problem of testing if a sequence of means $(\mu_t)_{t =1,\ldots ,n }$ of a non-stationary time series $(X_t)_{t =1,\ldots ,n }$ is stable in the sense that the difference of the means $\mu_1$ and $\mu_t$ between the…