| Title |
Change-point detection in functional first-order auto-regressive models / |
| Authors |
Birbilas, Algimantas ; Račkauskas, Alfredas |
| DOI |
10.3390/math12121889 |
| Full Text |
|
| Is Part of |
Mathematics.. Basel : MDPI. 2024, vol. 12, vol. 12, art. no. 1889, p. [1-25].. eISSN 2227-7390 |
| Keywords [eng] |
functional central limit theorem ; functional sample ; mean change-point detection ; partial sums |
| Abstract [eng] |
A sample of continuous random functions with auto-regressive structures and possible change-point of the means are considered. We present test statistics for the change-point based on a functional of partial sums. To study their asymptotic behavior, we prove functional limit theorems for polygonal line processes in the space of continuous functions. For some situations, we use a block bootstrap procedure to construct the critical region and provide applications. We also study the finite sample behavior via simulations. Eventually, we apply the statistics to a telecommunications data sample. |
| Published |
Basel : MDPI |
| Type |
Journal article |
| Language |
English |
| Publication date |
2024 |
| CC license |
|
