phi-Divergence Based Procedure for Parametric Change-Point Problems



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Batsidis, Apostolos and Martin, N. and Pardo Llorente, Leandro and Zografos, Konstantinos (2016) phi-Divergence Based Procedure for Parametric Change-Point Problems. Methodology and Computing in Applied Probability, 18 (1). pp. 21-35. ISSN 1387-5841

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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.

Item Type:Article
Uncontrolled Keywords:Change-point; Information criterion; Divergence; Wald test-statistic; General distributions
Subjects:Sciences > Mathematics > Mathematical statistics
ID Code:36565
Deposited On:04 Apr 2016 08:27
Last Modified:04 Apr 2016 08:27

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