B0940
Title: Multivariate procedures for detection of changes based on Fourier method
Authors: Marie Huskova - Charles University (Czech Republic) [presenting]
Abstract: We propose and study procedures for detection of changes in two different setups. Procedures are based on empirical characteristic functions. At first we deal with off-line procedures for a detection of changes in distribution in a series of independent multivariate observations. Then we focus on procedures for monitoring changes in the error distribution of autoregressive time series when the overall size of the sequential test. Both under the null hypothesis (no change) as well as alternatives (there is a change) limit properties of the proposed test procedures are studied. They are accompanied by a simulation study.
