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https://research.matf.bg.ac.rs/handle/123456789/1867| Title: | Change point analysis – the empirical Hankel transform approach | Authors: | Lukić, Žikica Milošević, Bojana |
Affiliations: | Probability and Mathematical Statistics Probability and Mathematical Statistics |
Keywords: | Hankel transform;Two-sample tests;Matrix distributions;Stability of cryptomarkets | Issue Date: | 2023 | Rank: | M32 | Related Publication(s): | 6th Workshop on Goodness-of-Fit, Change-Point and Related Topics | Conference: | Workshop on Goodnees-of-Fit, and Change-Point Problems(6 ; 2023 ; Skukuza) | Abstract: | In this study, we introduce novel tests for detecting change-points in the distribution of a sequence of independent observations of various types, including matrix-valued random variables. We present the limiting properties of these tests and demonstrate their quality through an extensive simulation study. To illustrate their application, we employ these tests for change-point detection in cryptomarkets. |
URI: | https://research.matf.bg.ac.rs/handle/123456789/1867 |
| Appears in Collections: | Research outputs |
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