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Change Point Analysis based on Empirical Characteristic Functions |
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| Authors: | Marie Hušková Simos G. Meintanis |
| Affiliation: | (1) Department of Statistics, Charles University of Prague, Sokolovská 83, CZ–18675 Praha 8, Czech Republic;(2) UTIA Czech Academy of Sciences, Pod vodárenskou věží 4, 18000 Praha 8, Czech Republic;(3) Department of Economics, National and Kapodistrian University of Athens, 8 Pesmazoglou Street, 105 59 Athens, Greece |
| Abstract: | Test procedures for detection of a change in the distribution of a sequence of independent observations based on empirical characteristic functions are developed and their limit properties are studied. Theoretical results are accompanied by a simulation study.The work of the first author was partially supported by grants GAČR 201/03/0945 and MSM 113200008 |
| Keywords: | 62G20 62E20 60F17 |
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