Multiple change-points detection based on U-Statistics under weak dependence
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arXiv
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| Hauptverfasser: | , , |
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| Format: | Preprint |
| Veröffentlicht: |
2025
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| _version_ | 1866908670965579776 |
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| author | Ngatchou-Wandji, Joseph Elharfaoui, Echarif Harel, Michel |
| author_facet | Ngatchou-Wandji, Joseph Elharfaoui, Echarif Harel, Michel |
| contents | We study multiple change-points detection using multi-samples tests based on U-statistics for absolutely regular observations. Our results extend those of Ngatchou-Wandji et al. (2022) concerned with the study of one single changepoint. The asymptotic distributions of the test statistics under the null hypothesis and under a sequence of local alternatives are given explicitly, and the tests are shown to be consistent. A small set of simulations is done for evaluating the performance of the tests in detecting multiple changes in the mean, variance and autocorrelation of some simple times series models. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2511_18524 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Multiple change-points detection based on U-Statistics under weak dependence Ngatchou-Wandji, Joseph Elharfaoui, Echarif Harel, Michel Statistics Theory 60F17, 62F03, 62M10 We study multiple change-points detection using multi-samples tests based on U-statistics for absolutely regular observations. Our results extend those of Ngatchou-Wandji et al. (2022) concerned with the study of one single changepoint. The asymptotic distributions of the test statistics under the null hypothesis and under a sequence of local alternatives are given explicitly, and the tests are shown to be consistent. A small set of simulations is done for evaluating the performance of the tests in detecting multiple changes in the mean, variance and autocorrelation of some simple times series models. |
| title | Multiple change-points detection based on U-Statistics under weak dependence |
| topic | Statistics Theory 60F17, 62F03, 62M10 |
| url | https://arxiv.org/abs/2511.18524 |