Kybernetika 37 no. 5, 605-622, 2001

Permutation tests for multiple changes

Marie Hušková and Aleš Slabý


Approximations to the critical values for tests for multiple changes in location models are obtained through permutation tests principle. Theoretical results say that the approximations based on the limit distribution and the permutation distribution of the test statistics behave in the same way in the limit. However, the results of simulation study show that the permutation tests behave considerably better than the corresponding tests based on the asymptotic critical value.