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Multi-purpose open-end monitoring procedures for multivariate observations based on the empirical distribution function
- Publication Year :
- 2022
-
Abstract
- We propose nonparametric open-end sequential testing procedures that can detect all types of changes in the contemporary distribution function of possibly multivariate observations. Their asymptotic properties are theoretically investigated under stationarity and under alternatives to stationarity. Monte Carlo experiments reveal their good finite-sample behavior in the case of continuous univariate, bivariate and trivariate observations. A short data example concludes the work.<br />Comment: 45 pages, 8 tables, 11 figures
- Subjects :
- Statistics - Methodology
62L99, 62E20, 62G10
Subjects
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.2201.10311
- Document Type :
- Working Paper