The changepoint problem in a multinomial sequence

Abstract

The univariate changepoint problem has been extensively studied in the literature. Several investigators have developed test statistics and estimators (both parametric and nonparametric) in classical and Bayesian frameworks. Extensions to multivariate changepoint problems have also been considered. Most such papers have assumed that the variables have continuous distributions. In our study we consider the at most one changepoint(AMOC) problem in a sequence of multinomial random variables. Three estimators to detect a possible change in the sequence are proposed. The results of a Monte Carlo simulation study of the estimators are presented.

Keywords:

• at most one changepoint problem
• Monte Carlo study
• multinomial data