Testing for changes using permutations of U-statistics

The critical values for various tests based on U-statistics to detect a possible change are obtained through permutations of the observations. We obtain the same approximations for the permutated U-statistics under the no change null hypothesis as well as under the exactly one change alternative. The results are used to show that the simulated critical values are asymptotically valid under the null hypothesis and the tests reject with the probability tending to one under the alternative. (C) 2004 Elsevier B.V. All rights reserved.