A New Change-Point Rank Tests

10.6339/JDS.2007.05(3).340

Abd-Elnaser S. Abd-Rabou；Ahmed M. Gad

Brownian bridge process ； change point problem ； Damico's test ； Monte Carlo

Journal of Data Science

5卷3期（2007 / 07 / 01）

379 - 392

英文

A new rank-based test statistics are proposed for the problem of a possible change in the distribution of independent observations. We extend the two-sample test statistic of Damico (2004) to the change point setup. The finite sample critical values of the proposed tests is estimated. We also conduct a Monte Carlo simulation to compare the powers of the new tests with their competitors. Using the Nile data of Cobb (1978), we demonstrate the applicability of the new tests.