Change-point analysis for matrix data: the empirical Hankel transform approach

【Author】 Lukic, Zikica; Milosevic, Bojana

【Source】STATISTICAL PAPERS

【影响因子】1.523

【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.

【Keywords】Matrix distributions; Change-point detection; Integral transforms

【发表时间】2024 2024 OCT 28

【收录时间】2024-11-09

【文献类型】案例研究

【主题类别】

区块链治理-技术治理-异常检测