zbMATH — the first resource for mathematics

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.

62G10 Nonparametric hypothesis testing
62G20 Asymptotic properties of nonparametric inference
62E20 Asymptotic distribution theory in statistics
65C60 Computational problems in statistics (MSC2010)
Full Text: DOI
[1] Antoch, J.; Hušková, M.; Jarušková, D., Change point detection., (), 1-75
[2] Csörgő, M.; Horváth, L., Limit theorems in change-point analysis, (1997), Wiley New York · Zbl 0884.62023
[3] Gombay, E.; Horváth, L., On the rate of approximations for maximum likelihood test in change-point models, J. multivariate anal., 56, 120-152, (1996) · Zbl 0863.62013
[4] Good, P., Permutation tests, (2000), Springer Verlag New York
[5] Hušková, M., Limit theorems for rank statistics, Statist. probab. lett., 32, 45-55, (1997) · Zbl 0933.62039
[6] Hušková, M., Multivariate rank statistics processes and change point analysis., (), 83-96
[7] Hušková, M., 1997c. Limit theorems for M-processes via rank statistics processes. in: Balakrishnan, N. (Ed.), Advances in Combinatorial Methods with Applications to Probability and Statistics, pp. 521-534. · Zbl 0933.62040
[8] Lehmann, E.L., Theory of point estimation., (1991), Wadsworth & Brooks/Cole California · Zbl 0801.62025
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. It attempts to reflect the references listed in the original paper as accurately as possible without claiming the completeness or perfect precision of the matching.