A New Change-Point Rank Tests
Volume 5, Issue 3 (2007), pp. 379–392
Pub. online: 12 July 2021
Type: Research Article
Open Access
Published
12 July 2021
12 July 2021
Abstract
Abstract: 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.