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Biometrika 1987 74(3):615-624; doi:10.1093/biomet/74.3.615
© 1987 by Biometrika Trust
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Rank tests for changepoint problems

F. LOMBARD

Department of Statistics, University of South Africa 0001 Pretoria, Republic of South Africa

We consider procedures based on quadratic form rank statistics to test for one or more changepoints in a series of independent observations. Models incorporating both smooth and abrupt changes are introduced. Various test statistics are suggested, their asymptotic null distributions are derived and tables of significance points are given. A Monte Carlo study shows that the asymptotic significance points are applicable to moderately sized samples.

Key Words: Abrupt change • Changepoint • Multiple change • Rank test • Smooth change


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