From: A robust test for mean change in dependent observations
CUSUM | RCUSUM | |||||
---|---|---|---|---|---|---|
T = 300 | T = 500 | T = 1,000 | T = 300 | T = 500 | T = 1,000 | |
The tests based on the Bartlett kernel function | ||||||
α = 1.97 | 0.028 | 0.032 | 0.034 | 0.034 | 0.033 | 0.046 |
α = 1.83 | 0.019 | 0.032 | 0.023 | 0.034 | 0.037 | 0.037 |
α = 1.41 | 0.009 | 0.013 | 0.021 | 0.035 | 0.038 | 0.048 |
α = 1.14 | 0.004 | 0.008 | 0.01 | 0.038 | 0.036 | 0.047 |
The tests based on the quadratic spectral kernel function | ||||||
α = 1.97 | 0.425 | 0.447 | 0.470 | 0.037 | 0.043 | 0.040 |
α = 1.83 | 0.414 | 0.444 | 0.456 | 0.026 | 0.043 | 0.048 |
α = 1.41 | 0.484 | 0.463 | 0.483 | 0.040 | 0.035 | 0.041 |
α = 1.14 | 0.459 | 0.490 | 0.454 | 0.028 | 0.048 | 0.042 |