Tests for Change in a Mean Function when the Data are Dependent

@inproceedings{Kim1998TestsFC,
  title={Tests for Change in a Mean Function when the Data are Dependent},
  author={Jaehee Kim and Jeffrey D. Hart},
  year={1998}
}
Detecting changes in the mean of a stochastic process is important in many areas, including quality control. We develop powerful omnibus tests for the null hypothesis that the underlying mean is constant. The proposed tests can be applied to test for any kind of change, whether it be abrupt, smooth or cyclical. Nonparametric function estimation techniques are used in deriving these tests. The test statistics are derived from a Fourier series smoother that minimizes an estimate of mean… CONTINUE READING