Publication: phi-Divergence Based Procedure for Parametric Change-Point Problems
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Publication Date
2016-03
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Springer
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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.