Nonparametric tests for change-point detection a la Gombay and Horvath

The nonparametric test for change-point detection proposed by Gombay and Horvath is revisited and extended in the broader setting of empirical process theory. The resulting testing procedure for potentially multivariate observations is based on a sequential generalization of the functional multiplier central limit theorem and on modifications of Gombay and Horvath's seminal approach that appears to improve the finite-sample behavior of the tests. A large number of candidate test statistics based on processes indexed by lower-left orthants and half-spaces are considered and their performance is studied through extensive Monte Carlo experiments involving univariate, bivariate and trivariate data sets. Finally, practical recommendations are provided and the tests are illustrated on trivariate hydrological data. (C) 2012 Elsevier Inc. All rights reserved.