, Volume 68, Issue 1, pp 1-15

Data driven rank test for the change point problem

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Abstract

Data driven test procedure for detection of change is introduced and its properties are studied. The new solution is max-type statistic related to data-driven rank tests for two-sample subproblems. Simulations show that the new test possesses high and stable power. The test is consistent at essentially any alternative. Asymptotic null distribution of the test is derived.

The work of the first two authors has been partially supported by the grants GAČR 201/06/0186 and MSM 02160839.