Abstract
In this paper we consider the problem of testing for a parameter change based on the cusum test proposed by Leeet al. (2003,Scandinavian Journal of Statistics,30, 781–796). The cusum test statistic is constructed via employing the estimator minimizing density-based divergence measures. It is shown that under regularity conditions, the test statistic has the limiting distribution of the sup of standard Brownian bridge. Simulation results demonstrate that the cusum test is robust when outliers exist.
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Lee, S., Na, O. Test for parameter change based on the estimator minimizing density-based divergence measures. Ann Inst Stat Math 57, 553–573 (2005). https://doi.org/10.1007/BF02509239
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DOI: https://doi.org/10.1007/BF02509239