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Consistent multiple testing for change points

Author

Listed:
  • Chen, Kuo-mei
  • Cohen, Arthur
  • Sackrowitz, Harold

Abstract

The change point problem for independent normal means is considered as a multiple testing problem. Two stepwise methods are considered. Namely, the binary segmentation method of Vostrikova (1981) [7] and the maximum residual down method of Cohen et al. (2009) [5]. Both of these methods are shown to be consistent. Consistent here means that as sample sizes tend to infinity, the probability of making an error (false rejection or false acceptance) tends to zero.

Suggested Citation

  • Chen, Kuo-mei & Cohen, Arthur & Sackrowitz, Harold, 2011. "Consistent multiple testing for change points," Journal of Multivariate Analysis, Elsevier, vol. 102(10), pages 1339-1343, November.
  • Handle: RePEc:eee:jmvana:v:102:y:2011:i:10:p:1339-1343
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