Change point analysis based on empirical characteristic functions of ranks

Abstract

Test procedures for detection of a change in the distribution of a sequence of independent observations based on empirical characteristic functions of ranks are proposed and their properties are studied. The resulting test procedures are distribution free under the null hypothesis (no change in distribution).

Theoretical results are accompanied by a simulation study.

Keywords

• Change
• point
• analysis
• based
• empirical
• characteristic
• functions
• ranks