| Article ID: | iaor19983116 |
| Country: | Germany |
| Volume: | 46 |
| Issue: | 1 |
| Start Page Number: | 1 |
| End Page Number: | 19 |
| Publication Date: | Jan 1997 |
| Journal: | Metrika |
| Authors: | Steinebach J., Eastwood V.R. |
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 occurs in any of the component renewal processes. Since the actual covariance structure is often unknown, we also suggest an appropriate estimate.