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.
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The work of the first two authors has been partially supported by the grants GAČR 201/06/0186 and MSM 02160839.
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Antoch, J., Hušková, M., Janic, A. et al. Data driven rank test for the change point problem. Metrika 68, 1–15 (2008). https://doi.org/10.1007/s00184-007-0139-2
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DOI: https://doi.org/10.1007/s00184-007-0139-2