A Note on Signed Rank Tests for the Changepoint Problem |
| |
Authors: | James A Koziol |
| |
Institution: | The Scripps Research Institute , La Jolla |
| |
Abstract: | We consider two classes of signed rank statistics to test for smooth or abrupt changepoints in sequences of independent random variables. We derive asymptotic null distributions and finite sample approximations for the two classes. We infer from a Monte Carlo power study that the signed rank statistics may compare favorably with parametric analogues in detecting abrupt changes in a sequence of independent normal random variables. |
| |
Keywords: | AMS 1980 classifications 62G10 65U05 |
|