A procedure for the change point problem in parametric models based on phi-divergence test-statistics

Abstract: This paper studies the change point problem for a general parametric, univariate or multivariate family of distributions. An information theoretic procedure is developed which is based on general divergence measures for testing the hypothesis of the existence of a change. For comparing the accuracy of the new test-statistic a simulation study is performed for the special case of a univariate discrete model. Finally, the procedure proposed in this paper is illustrated through a classical change-point example.