CMStatistics 2020: Start Registration
View Submission - CMStatistics
B0629
Title: p-variation of cusum process and testing change in the mean Authors:  Tadas Danielius - Vilnius University (Lithuania) [presenting]
Abstract: A new test of model instability in the mean is proposed and investigated. The test is based on p-variation of step-wise cusum process. We establish a limiting distribution of the test statistics under null as well under contiguous alternatives.