, Volume 46, Issue 1, pp 1–19 | Cite as

Detecting changes in a multivariate renewal process

  • Josef Steinebach
  • Vera R. Eastwood


Some recent extreme value asymptotics for multivariate renewal processes are used to derive an asymptotic changepoint test. This test is proven to be consistent in the multivariate framework where we assume that at most one change (AMOC) occurrs in any of the component renewal processes. Since the actual covariance structure is often unknown, we also suggest an appropriate estimate.


Central Limit Theorem Renewal Process Invariance Principle Local Lipschitz Condition Math Proc 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


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Copyright information

© Physica-Verlag 1997

Authors and Affiliations

  • Josef Steinebach
    • 1
  • Vera R. Eastwood
    • 2
    • 3
  1. 1.Fachbereich MathematikPhilipps-UniversitätMarburgGermany
  2. 2.Department of Mathematics and StatisticsAcadia UniversityWolfvilleCanada
  3. 3.Department of StatisticsUniversity of AucklandAucklandNew Zealand

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