ϕ-Divergence Based Procedure for Parametric Change-Point Problems

被引：0
作者：
A. Batsidis
N. Martín
L. Pardo
K. Zografos
机构：
[1] University of Ioannina,Department Mathematics
[2] Carlos III University of Madrid,Department Statistics
[3] Complutense University of Madrid,Department Statistics and O.R.
来源：
Methodology and Computing in Applied Probability | 2016年 / 18卷
关键词：
Change-point; Information criterion; Divergence; Wald test-statistic; General distributions; Primary 62F03; 62F05; Secondary 62H15;
D O I：
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中图分类号：
学科分类号：
摘要：
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.
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页码：21 / 35
页数：14
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