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

Author

Listed:
  • Žikica Lukić

    (University of Belgrade)

  • Bojana Milošević

    (University of Belgrade)

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.

Suggested Citation

  • Žikica Lukić & Bojana Milošević, 2024. "Change-point analysis for matrix data: the empirical Hankel transform approach," Statistical Papers, Springer, vol. 65(9), pages 5955-5980, December.
    • Handle: RePEc:spr:stpapr:v:65:y:2024:i:9:d:10.1007_s00362-024-01596-4
    DOI: 10.1007/s00362-024-01596-4
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