Table 5 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 | 0.979 | 1.000 | 1.000 | 0.869 | 0.964 | 0.999 |
α = 1.83 | 0.957 | 0.995 | 0.996 | 0.847 | 0.957 | 0.994 |
α = 1.41 | 0.824 | 0.882 | 0.917 | 0.729 | 0.855 | 0.963 |
α = 1.14 | 0.644 | 0.672 | 0.652 | 0.574 | 0.753 | 0.895 |
The change point \(\tau_{0}=0.5\) | ||||||
α = 1.97 | 0.998 | 0.999 | 1.000 | 0.939 | 0.983 | 1.000 |
α = 1.83 | 0.982 | 0.994 | 0.992 | 0.915 | 0.979 | 0.998 |
α = 1.41 | 0.802 | 0.826 | 0.889 | 0.805 | 0.929 | 0.996 |
α = 1.14 | 0.604 | 0.593 | 0.646 | 0.670 | 0.819 | 0.943 |
The change point \(\tau_{0}=0.7\) | ||||||
α = 1.97 | 0.993 | 1.000 | 1.000 | 0.873 | 0.961 | 0.996 |
α = 1.83 | 0.736 | 0.773 | 0.845 | 0.820 | 0.947 | 0.999 |
α = 1.41 | 0.736 | 0.773 | 0.845 | 0.717 | 0.867 | 0.972 |
α = 1.14 | 0.570 | 0.556 | 0.594 | 0.577 | 0.731 | 0.878 |