Ӧ�ø���ͳ�� 2013, 29(5) 449-457 DOI:      ISSN: 1001-4268 CN: 31-1256

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A Nonparametric Test for Multiple Changes in the Mean of Independent Random Series
Qin Ruibing, Tian Zheng, Chen Zhanshou
School of Mathematical Science, Shanxi University; Department of Applied Mathematics��Northwestern Polytechnical University; Department of Mathematics, Qinghai Normal University
Abstract:

A nonparametric procedure is proposed to
detect multiple changes in the mean of independent random series and
the asymptotic distribution is derived. Simultaneously, the
estimators for the locations of the change points are obtained.
Moreover, the performance of the test is studied by Monte Carlo
simulation, which demonstrates that the proposed test has high
powers and good sizes for heavy-tailed innovations. Finally, the
feasibility of the proposed test is illustrated by the application
on the LBC data of stock prices.

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