Abstract
We consider the problem of testing the null hypothesis of no change against the alternative of multiple change points in a series of independent observations. We propose an ANOVA-type test statistic and obtain its asymptotic null distribution. We also give approximations of its limiting critical values. We report the results of Monte Carlo studies conducted to compare the power of the proposed test against a number of its competitors. As illustrations we analyzed three real data sets.
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The authors wish to express their sincere thanks for the two referees for their valuable remarks and suggestions which improved the presentation.
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Appendix 1
Appendix 1
The following five tables summarize the Monte Carlo powers for the normal (double-exponential) distributions and \(n = 100\).
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Al-Kandari, N.M., Aly, EE.A.A. An ANOVA-type test for multiple change points. Stat Papers 55, 1159–1178 (2014). https://doi.org/10.1007/s00362-013-0559-1
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DOI: https://doi.org/10.1007/s00362-013-0559-1