Kuwait-University-Journal-of-Law-header
Search
Kuwait Journal of Science

Previous Issues

Advance Search
Year : From To Vol
Issue Discipline:
Author

Volume :41 Issue : 2 2014      Add To Cart                                                                    Download

Multiple change points tests against the umbrella alternative

Auther : FAHIMAH AL-AWADHI, EMAD-ELDIN A. A. ALY


Abstract
We consider the problem of testing the null hypothesis of no change against the alternative of multiple umbrella-type change points in a series of independent observations. We extend the tests of Mack Wolfe (1981) to the change point set-up. We consider the two cases of known and unknown umbrella peak point. We obtain the asymptotic null distributions of the proposed tests and give approximations for their limiting critical values. We also give tables for their finite sample Monte Carlo critical values. We report the results of several Monte Carlo power studies conducted to compare the proposed tests with a number of multiple change points tests. As an illustration we applied the proposed tests using a real data set.
Keywords
Brownian bridge; limit theorems; Monte Carlo simulations.

Kuwait Journal of Science
Journal of Law

You are Visitor No.

55201

Journal of Law
Journal of Law
Tell your friendsJournal of Law
Journal of Law

Last Updated

Jun 19, 2012

Journal of Law
Journal of Law
Journal of Law

Please enter your email Here to receive our news

Journal of Law