IDEAS home Printed from https://ideas.repec.org/p/cte/wsrepe/ws110101.html
   My bibliography  Save this paper

Change point for multinomial data using phi-divergence test statistics

Author

Listed:
  • Batsidis, Apostolos
  • Martín, Nirian
  • Pardo, Leandro
  • Zografos, Konstantinos

Abstract

We 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

Suggested Citation

  • Batsidis, Apostolos & Martín, Nirian & Pardo, Leandro & Zografos, Konstantinos, 2011. "Change point for multinomial data using phi-divergence test statistics," DES - Working Papers. Statistics and Econometrics. WS ws110101, Universidad Carlos III de Madrid. Departamento de Estadística.
  • Handle: RePEc:cte:wsrepe:ws110101
    as

    Download full text from publisher

    File URL: https://e-archivo.uc3m.es/bitstream/handle/10016/9969/ws110101.pdf?sequence=1
    Download Restriction: no

    More about this item

    Keywords

    Multinomial sampling;

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cte:wsrepe:ws110101. See general 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: (Ana Poveda). General contact details of provider: http://portal.uc3m.es/portal/page/portal/dpto_estadistica .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.