Consistent multiple testing for change points

Kuo-mei Chen, Arthur Cohen and Harold Sackrowitz

Journal of Multivariate Analysis, 2011, vol. 102, issue 10, 1339-1343

Abstract: The change point problem for independent normal means is considered as a multiple testing problem. Two stepwise methods are considered. Namely, the binary segmentation method of Vostrikova (1981) [7] and the maximum residual down method of Cohen et al. (2009) [5]. Both of these methods are shown to be consistent. Consistent here means that as sample sizes tend to infinity, the probability of making an error (false rejection or false acceptance) tends to zero.

Keywords: Stepdown; procedures; Familywise; error; rate; Binary; sequential; segmentation; Maximum; residual; down (search for similar items in EconPapers)
Date: 2011
References: View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0047259X11000686
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jmvana:v:102:y:2011:i:10:p:1339-1343

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Catherine Liu ().