Table 3 The empirical powers of the robust CUSUM test and the CUSUM test for dependent innovations
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 change point \(\tau_{0}=0.3\) | ||||||
α = 1.97 | 0.849 | 0.991 | 0.998 | 0.951 | 0.999 | 1.000 |
α = 1.83 | 0.692 | 0.919 | 0.977 | 0.964 | 1.000 | 1.000 |
α = 1.41 | 0.222 | 0.361 | 0.530 | 0.957 | 0.995 | 1.000 |
α = 1.14 | 0.047 | 0.065 | 0.076 | 0.964 | 0.998 | 1.000 |
The change point \(\tau_{0}=0.5\) | ||||||
α = 1.97 | 0.988 | 0.997 | 0.997 | 0.991 | 1.000 | 1.000 |
α = 1.83 | 0.913 | 0.966 | 0.979 | 0.985 | 1.000 | 1.000 |
α = 1.41 | 0.360 | 0.531 | 0.651 | 0.994 | 1.000 | 1.000 |
α = 1.14 | 0.097 | 0.108 | 0.133 | 0.996 | 1.000 | 1.000 |
The change point \(\tau_{0}=0.7\) | ||||||
α = 1.97 | 0.972 | 0.995 | 0.999 | 0.958 | 0.999 | 1.000 |
α = 1.83 | 0.875 | 0.944 | 0.978 | 0.962 | 0.997 | 1.000 |
α = 1.41 | 0.300 | 0.446 | 0.542 | 0.964 | 0.999 | 1.000 |
α = 1.14 | 0.063 | 0.080 | 0.104 | 0.972 | 1.000 | 1.000 |