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Permutation tests in change point analysis. (English) Zbl 0980.62033
Summary: The critical values for various tests for changes in location models are obtained through the use of the permutation tests principle. Theoretical results show that in the limit these new “permutation tests” behave in the same way as the “classical tests” stemming from both maximum likelihood and Bayes principles. However, the results of a simulation study show that the permutation tests behave considerably better than the corresponding classical tests if measured by the critical values attained.

MSC:
62G10 Nonparametric hypothesis testing
62G20 Asymptotic properties of nonparametric inference
62E20 Asymptotic distribution theory in statistics
65C60 Computational problems in statistics (MSC2010)
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