A procedure for the change point problem in parametric models based on phi-divergence test-statistics

Details A procedure for the change point problem in parametric models based on phi-divergence test-statistics A procedure for the change point problem in parametric models based on phi-divergence test-statistics

2011-07-05

arxiv.org/abs/1107.0864v1

Mathematics

Statistics Theory

Scientific paper

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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