Table 6 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 | 0.467 | 0.881 | 1.000 | 0.808 | 0.941 | 0.999 |
α = 1.83 | 0.521 | 0.874 | 0.993 | 0.764 | 0.920 | 0.995 |
α = 1.41 | 0.658 | 0.770 | 0.893 | 0.582 | 0.788 | 0.961 |
α = 1.14 | 0.565 | 0.629 | 0.668 | 0.440 | 0.642 | 0.847 |
The change point \(\tau_{0}=0.5\) | ||||||
α = 1.97 | 0.974 | 0.999 | 1.000 | 0.891 | 0.967 | 0.997 |
α = 1.83 | 0.958 | 0.987 | 0.994 | 0.866 | 0.969 | 0.999 |
α = 1.41 | 0.792 | 0.860 | 0.897 | 0.726 | 0.876 | 0.992 |
α = 1.14 | 0.594 | 0.640 | 0.631 | 0.568 | 0.720 | 0.921 |
The change point \(\tau_{0}=0.7\) | ||||||
α = 1.97 | 0.992 | 1.000 | 1.000 | 0.782 | 0.924 | 0.997 |
α = 1.83 | 0.974 | 0.981 | 0.992 | 0.802 | 0.924 | 0.990 |
α = 1.41 | 0.749 | 0.800 | 0.881 | 0.604 | 0.756 | 0.942 |
α = 1.14 | 0.544 | 0.580 | 0.590 | 0.448 | 0.598 | 0.838 |