Application of Bootstrap Method for Change Point Test based on Kernel Density Estimator

  • Published : 2004.02.28

Abstract

Change point testing problem is considered. Kernel density estimators are used for constructing proposed change point test statistics. The proposed method can be used to the hypothesis testing of not only parameter change but also distributional change. Bootstrap method is applied to get the sampling distribution of proposed test statistic. Small sample Monte Carlo Simulation were also conducted in order to show the performance of proposed method.