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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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