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<p>We propose a test for detecting distributional changes in a sequence of multivariate observations based on optimal measure transport. The test is formulated using the empirical characteristic functions of the transported observations and is therefore distribution-free. We provide a method for constructing an exact test and we derive the asymptotic distribution of the test statistic. The performance of the proposed procedure is illustrated through a Monte Carlo simulation study.</p>

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Change-Point Detection via Characteristic Functions and Optimal Measure Transport

  • 期刊论文

  • 发表日期：

    2026年3月30日

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  • Zdeněk Hlávka,
  • Šárka Hudecová,
  • Marie Hušková

摘要

We propose a test for detecting distributional changes in a sequence of multivariate observations based on optimal measure transport. The test is formulated using the empirical characteristic functions of the transported observations and is therefore distribution-free. We provide a method for constructing an exact test and we derive the asymptotic distribution of the test statistic. The performance of the proposed procedure is illustrated through a Monte Carlo simulation study.