Université Paris 6
Pierre et Marie Curie
Université Paris 7
Denis Diderot

CNRS U.M.R. 7599
``Probabilités et Modèles Aléatoires''

Nonparametric tests of change-point with tapered data


Code(s) de Classification MSC:

Résumé: In this work we build two families of nonparametric tests using tapered data for the off-line detection of change-points in the spectral characteristics of a stationary Gaussian process. This is done using the Kolmogorov-Smirnov's Statistics based on integrated tapered periodograms. The convergence is obtained under the null hypothesis by means of a double indexed (frequency - time) process together with some extensions of Dirichlet and Fejer kernels. Consistency is proved using these statistics under the alternative. Then using numerical simulations, we observe that the use of tapered data significantly improves the properties of the test, especially in the case of small samples.

Mots Clés: Nonparametric, Tests ; Change-Point ; Periodogram ; Tapered Data ; Stationary Process

Date: 1999-12-10

Prépublication numéro: PMA-553

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