Change point analysis of an exponential model based on Phi-divergence test-statistics: simulated critical points case

TL;DR

This paper evaluates the performance of new divergence-based change point test statistics for exponential models using simulated critical points, providing insights into their behavior and effectiveness.

Contribution

It investigates the behavior of change point test statistics based on Phi-divergence measures with simulated critical points, extending prior work with a simulation study.

Findings

Test statistics show reliable behavior with simulated critical points

Improved understanding of test performance in exponential change point detection

Potential for more accurate change point identification in exponential models

Abstract

Recently Batsidis \textit{et al.} (2011) have presented a new procedure based on divergence measures for testing the hypothesis of the existence of a change point in exponential populations. A simulation study was carried out, in this paper, using the asymptotic critical points obtained from the asymptotic distribution of the new test statistics introduced there. The main purpose of this paper is to study the behavior of the test statistics introduced in the cited paper of Batsidis \textit{et al.} (2011), using simulated critical points.