phi-Divergence Based Procedure for Parametric Change-Point Problems Articles uri icon

authors

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

publication date

  • March 2016

start page

  • 21

end page

  • 35

issue

  • 1

volume

  • 18

International Standard Serial Number (ISSN)

  • 1387-5841

Electronic International Standard Serial Number (EISSN)

  • 1573-7713

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.

subjects

  • Statistics

keywords

  • change point; information criterion; divergence; wald test-statistic; general distributions; bessel process; tests; statistics; models