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Distribution Approximations for Cusum and Cusumsq Statistics

Reza Habibi ()

Statistics in Transition new series, 2010, vol. 11, issue 3, 585-596

Abstract: The cumulative sum (cusum) is an important statistics in testing for a change point. This paper is concerned with the distribution approximations to the cusum statistic under the null and alternative hypotheses. We also consider distribution approximations for the cumulative sum of squares (cusumsq) test statistics. Finally, a discussion section is given.

Keywords: Beta approximated; Change point; Cumulative sum; Cumulative sum of squares; Multivariate normal; Response surface regression (search for similar items in EconPapers)
Date: 2010
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Handle: RePEc:csb:stintr:v:11:y:2010:i:3:p:585-596