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On the power of nonparametric changepoint-tests
Authors:Dietmar Ferger
Institution:(1) Mathematisches Institut, JUSTUS-Liebig-Universität, Arndtstraße 2, 35392 Gießen, Germany
Abstract:We consider a sequenceX 1n,..., Xnn, n isin N, of independent random elements. Suppose there exists a thetaisin0, 1) such thatX 1n,...,X (ntheta),n have the distribution v1 andX ntheta]+1.n ,...,X nn have the distribution v2nev1. We construct consistent level-agr tests forH 0:theta=0 versusH 1:thetaisin(0, 1), which are based on certainU-statistic type processes. A detailed investigation of the power function is also provided.
Keywords:
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