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ϕ-Divergence Based Procedure for Parametric Change-Point Problems

Author

Listed:
  • A. Batsidis

    (University of Ioannina)

  • N. Martín

    (Carlos III University of Madrid)

  • L. Pardo

    (Complutense University of Madrid)

  • K. Zografos

    (University of Ioannina)

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.

Suggested Citation

  • A. Batsidis & N. Martín & L. Pardo & K. Zografos, 2016. "ϕ-Divergence Based Procedure for Parametric Change-Point Problems," Methodology and Computing in Applied Probability, Springer, vol. 18(1), pages 21-35, March.
    • Handle: RePEc:spr:metcap:v:18:y:2016:i:1:d:10.1007_s11009-014-9398-3
    DOI: 10.1007/s11009-014-9398-3
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    References listed on IDEAS

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    1. Estrella, Arturo, 2003. "Critical Values And P Values Of Bessel Process Distributions: Computation And Application To Structural Break Tests," Econometric Theory, Cambridge University Press, vol. 19(6), pages 1128-1143, December.
    2. Pan, Jianmin & Chen, Jiahua, 2006. "Application of modified information criterion to multiple change point problems," Journal of Multivariate Analysis, Elsevier, vol. 97(10), pages 2221-2241, November.
    3. Gombay, Edit & Horváth, Lajos, 1996. "On the Rate of Approximations for Maximum Likelihood Tests in Change-Point Models," Journal of Multivariate Analysis, Elsevier, vol. 56(1), pages 120-152, January.
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