I am new to change point analysis, and have run a number of change point models using the below test statistics:

  • Mann-Whitney
  • Lepage
  • Kolmgorov-Smirnov
  • Cramer-von-Mises

My understanding is that some change point methods focus on changes in the mean, others changes in the variance. Of the above test statistics, do these focus on changes in mean or variance? Or are they referring to something else entirely?


Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Browse other questions tagged or ask your own question.