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Permutation tests for multiple changes. (English) Zbl 1264.62038
Summary: Approximations to the critical values of tests for multiple changes in location models are obtained through the permutation tests principle. Theoretical results prove that the approximations based on the limit distributions and the permutation distributions of the test statistics behave in the same way in the limit. However, the results of a simulation study show that the permutation tests behave considerably better than the corresponding tests based on the asymptotic critical values.

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