Please use this identifier to cite or link to this item: https://research.matf.bg.ac.rs/handle/123456789/1815
Title: Change-point analysis for matrix data: the empirical Hankel transform approach
Authors: Lukić, Žikica
Milošević, Bojana 
Affiliations: Probability and Mathematical Statistics 
Keywords: 62H15;62P05;Change-point detection;Integral transforms;Matrix distributions
Issue Date: 1-Dec-2024
Rank: M22
Publisher: Springer
Journal: Statistical Papers
Abstract: 
In this study, we introduce the first-of-its-kind class of tests for detecting change-points in the distribution of a sequence of independent matrix-valued random variables. The tests are constructed using the weighted square integral difference of the empirical orthogonally invariant Hankel transforms. The test statistics have a convenient closed-form expression, making them easy to implement in practice. We present their limiting properties and demonstrate their quality through an extensive simulation study. We utilize these tests for change-point detection in cryptocurrency markets to showcase their practical use. The detection of change-points in this context can have various applications in constructing and analyzing novel trading systems.
URI: https://research.matf.bg.ac.rs/handle/123456789/1815
ISSN: 09325026
DOI: 10.1007/s00362-024-01596-4
Appears in Collections:Research outputs

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