ϕ-Divergence Based Procedure for Parametric Change-Point Problems

A. Batsidis, N. Martín (), L. Pardo and K. Zografos
Additional contact information
A. Batsidis: University of Ioannina
N. Martín: Carlos III University of Madrid
L. Pardo: Complutense University of Madrid
K. Zografos: University of Ioannina

Methodology and Computing in Applied Probability, 2016, vol. 18, issue 1, 21-35

Abstract: Abstract This paper studies the change-point problem for a general parametric, univariate or multivariate family of distributions. An information theoretic procedure is developed which is based on general divergence measures for testing the hypothesis of the existence of a change. For comparing the exact sizes of the new test-statistic using the criterion proposed in Dale (J R Stat Soc B 48–59, 1986), a simulation study is performed for the special case of exponentially distributed random variables. A complete study of powers of the test-statistics and their corresponding relative local efficiencies, is also considered.

Keywords: Change-point; Information criterion; Divergence; Wald test-statistic; General distributions; Primary 62F03; 62F05; Secondary 62H15 (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1007/s11009-014-9398-3

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