Multiple change-points detection based on U-Statistics under weak dependence
Statistics Theory
2025-11-25 v1 Statistics Theory
Abstract
We study multiple change-points detection using multi-samples tests based on U-statistics for absolutely regular observations. Our results extend those of Ngatchou-Wandji et al. (2022) concerned with the study of one single changepoint. The asymptotic distributions of the test statistics under the null hypothesis and under a sequence of local alternatives are given explicitly, and the tests are shown to be consistent. A small set of simulations is done for evaluating the performance of the tests in detecting multiple changes in the mean, variance and autocorrelation of some simple times series models.
Cite
@article{arxiv.2511.18524,
title = {Multiple change-points detection based on U-Statistics under weak dependence},
author = {Joseph Ngatchou-Wandji and Echarif Elharfaoui and Michel Harel},
journal= {arXiv preprint arXiv:2511.18524},
year = {2025}
}