2020/10/07 by Ilia Negri, Negri, Ilia, Yoichi Nishiyama +1
Decision Sciences · Economics, Econometrics and Finance · Mathematics · #62F10 #Advanced Statistical Process Monitoring #FOS: Mathematics #Financial Risk and Volatility Modeling #Statistical Methods and Inference #Statistics Theory (math.ST)
paper · pdf · doi:10.48550/arxiv.2010.03334
openalex publication_date 2020/10/07 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
A change point detection procedure using the method of moment estimators is proposed. The test statistics is based on a suitable Z-process. The asymptotic behavior of this process is established under both the null and the alternative hypothesis and the consistency of the test is also proved. An estimator for the change point is proposed and its consistency is derived. Some examples of this method applied to a parametric family of random variables are presented.