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Consistent multiple testing for change points

Author

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  • 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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    Cited by:

    1. Joseph Ngatchou-Wandji & Echarif Elharfaoui & Michel Harel, 2022. "On change-points tests based on two-samples U-Statistics for weakly dependent observations," Statistical Papers, Springer, vol. 63(1), pages 287-316, February.

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