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Change Point Statistics of Rényi Type
This is the presentation for my first oral examination. In this presentation I discuss change point test statistics of Rényi-type. Change point tests are statistical tests to determine whether the parameters of a model are constant over a window of (serial) data or whether, at some unknown point, the parameters of the model change. In this presentation I discuss a new change point test statistic that is well equipped to detect structural change when the change occurs very early or late in the window. Using simulation studies I demonstrate that the statistic does better than other well-known and popular statistics at detecting early/late changes. I also demonstrate how the statistic performs when computed on the residuals of the Fama-French five-factor model computed for a portfolio of banking sector stocks near the 2008 financial crisis.