Change-point detection in multinomial data using phi-divergence test statistics Articles uri icon

authors

  • BATSIDIS, A.
  • Horvath, L.
  • MARTIN APAOLAZA, NIRIAN
  • Pardo, L.
  • ZOGRAFOS, K.

publication date

  • July 2013

start page

  • 53

end page

  • 66

volume

  • 118

international standard serial number (ISSN)

  • 0047-259X

electronic international standard serial number (EISSN)

  • 1095-7243

abstract

  • We propose two families of maximally selected phi-divergence tests to detect a change in the probability vectors of a sequence of multinomial random variables with possibly different sizes. In addition, the proposed statistics can be used to estimate the location of the change-point. We derive the limit distributions of the proposed statistics under the no change null hypothesis. One of the families has an extreme value limit. The limit of the other family is the maximum of the norm of a multivariate Brownian bridge. We check the accuracy of these limit distributions in case of finite sample sizes. A Monte Carlo analysis shows the possibility of improving the behavior of the test statistics based on the likelihood ratio and chi-square tests introduced in Horvath and Serbinowska [7]. The classical Lindisfarne Scribes problem is used to demonstrate the applicability of the proposed statistics to real life data sets.

keywords

  • multinomial sampling; change-point; phi-divergence test statistics