-divergence based procedure for parametric change-point problems

DOI10.1007/S11009-014-9398-3MaRDI QIDQ267862zbMATH OpenOpenAlexFDO

Authors N. Martín, A. Batsidis, Leandro Pardo, K. Zografos

Publication date 12 April 2016

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1107.0864

zbMATH Keywords

change-pointdivergencegeneral distributionsinformation criterionWald test-statistic

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Asymptotic properties of parametric tests (62F05) Hypothesis testing in multivariate analysis (62H15)

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 accuracy of the new test-statistic a simulation study is performed for the special case of a univariate discrete model. Finally, the procedure proposed in this paper is illustrated through a classical change-point example.

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Cited in

(5)

• Change-point detection in multinomial data using phi-divergence test statistics
• A new toolkit for robust distributional change detection
• Comments on: ``Extensions of some classical methods in change point analysis
• Information matrix test for normality of innovations in stationary time series models
• Divergences based Bayesian inference with censored data

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