Change point for multinomial data using phi-divergence test statistics
AbstractWe propose two families of maximally selected phi-divergence tests for studying change point locations when the unknown probability vectors of a sequence of multinomial random variables, with possibly different sizes, are piecewise constant. In addition, these test-statistics are valid to estimate the location of the change-point. Two variants of the first family are considered by following two versions of the Darling- Erdös' formula. Under the no changes null hypothesis, we derive their limit distributions, extreme value and Gaussian-type respectively. We pay special attention to the checking the accuracy of these limit distributions in case of finite sample sizes. In such a framework, a Monte Carlo analysis shows the possibility of improving the behaviour of the test-statistics based on the likelihood ratio and chi-square tests introduced in Horváth and Serbinowska (1995). The data of the classical Lindisfarne Scribes problem are used in order to apply the proposed test-statistics
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Universidad Carlos III, Departamento de Estadística y Econometría in its series Statistics and Econometrics Working Papers with number ws110101.
Date of creation: Jan 2011
Date of revision:
Contact details of provider:
Postal: C/ Madrid, 126 - 28903 GETAFE (MADRID)
Web page: http://www.uc3m.es/uc3m/dpto/DEE/departamento.html
More information through EDIRC
Multinomial sampling; Change-point; Phi-divergence test-statistics;
This paper has been announced in the following NEP Reports:
You can help add them by filling out this form.
reading list or among the top items on IDEAS.Access and download statisticsgeneral information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.