Change-point methods for multivariate time-series: paired vectorial observations

Abstrakt

We consider paired and two-sample break-detection procedures for vectorial observations and multivariate time series. The new methods involve L2-type criteria based on empirical characteristic functions and are easy to compute regardless of dimension.

We obtain asymptotic results that allow for application of the methods to a wide range of settings involving on-line as well as retrospective circumstances with dependence between the two time series as well as with dependence within each series.

Klíčová slova

• Change-point detection
• Empirical characteristic function
• Two-sample problem
• Resampling procedures