A procedure for the change point problem in parametric models based on phi-divergence test-statistics
Statistics Theory
2014-03-26 v1 Statistics Theory
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.
Cite
@article{arxiv.1107.0864,
title = {A procedure for the change point problem in parametric models based on phi-divergence test-statistics},
author = {Apostolos Batsidis and Nirian Martín and Leandro Pardo and Konstantinos Zografos},
journal= {arXiv preprint arXiv:1107.0864},
year = {2014}
}