An ANOVA-type test for multiple change points

Noriah Al-Kandari () and Emad-Eldin Aly ()

Statistical Papers, 2014, vol. 55, issue 4, 1159-1178

Abstract: We consider the problem of testing the null hypothesis of no change against the alternative of multiple change points in a series of independent observations. We propose an ANOVA-type test statistic and obtain its asymptotic null distribution. We also give approximations of its limiting critical values. We report the results of Monte Carlo studies conducted to compare the power of the proposed test against a number of its competitors. As illustrations we analyzed three real data sets. Copyright Springer-Verlag Berlin Heidelberg 2014

Keywords: Brownian bridge; Limit theorems; Monte Carlo simulations (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/s00362-013-0559-1

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