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Empirical likelihood ratio test for the change-point problem


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  • Zou, Changliang
  • Liu, Yukun
  • Qin, Peng
  • Wang, Zhaojun
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    A nonparametric method based on the empirical likelihood is proposed to detect the change-point from a sequence of independent random variables. The empirical likelihood ratio test statistic is proved to have the same limit null distribution as that with classical parametric likelihood. Under some mild conditions, the maximum empirical likelihood estimator of change-point is also shown to be consistent. The simulation results demonstrate the sensitivity and robustness of the proposed approach. A famous real example is studied to illustrate its effectiveness.

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    Bibliographic Info

    Article provided by Elsevier in its journal Statistics & Probability Letters.

    Volume (Year): 77 (2007)
    Issue (Month): 4 (February)
    Pages: 374-382

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    Handle: RePEc:eee:stapro:v:77:y:2007:i:4:p:374-382

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    Keywords: Empirical likelihood Change-point Nonparametric Robustness Maximum empirical likelihood estimator;


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    1. Perron, Pierre & Vogelsang, Timothy J, 1992. "Testing for a Unit Root in a Time Series with a Changing Mean: Corrections and Extensions," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 10(4), pages 467-70, October.
    2. Gombay, Edit & Horváth, Lajos, 1994. "An application of the maximum likelihood test to the change-point problem," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 50(1), pages 161-171, March.
    3. Yao, Yi-Ching, 1990. "On the asymptotic behavior of a class of nonparametric tests for a change-point problem," Statistics & Probability Letters, Elsevier, Elsevier, vol. 9(2), pages 173-177, February.
    4. Einmahl, J.H.J. & McKeague, I.W., 2003. "Empirical likelihood based hypothesis testing," Open Access publications from Tilburg University urn:nbn:nl:ui:12-117075, Tilburg University.
    5. Zhong Guan, 2004. "A semiparametric changepoint model," Biometrika, Biometrika Trust, Biometrika Trust, vol. 91(4), pages 849-862, December.
    6. Jing, Bing-Yi, 1995. "Two-sample empirical likelihood method," Statistics & Probability Letters, Elsevier, Elsevier, vol. 24(4), pages 315-319, September.
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    Cited by:
    1. Shen, Gang, 2013. "On empirical likelihood inference of a change-point," Statistics & Probability Letters, Elsevier, Elsevier, vol. 83(7), pages 1662-1668.
    2. Nirian Martín & Leandro Pardo, 2014. "Comments on: Extensions of some classical methods in change point analysis," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, Springer, vol. 23(2), pages 279-282, June.


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