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Bootstrapping Sequential Change-Point Tests

Abstract In this article we propose some bootstrapping methods to obtain critical values for sequential change-point tests. We consider a change in the mean with i.i.d. errors. Theoretical results show the asymptotic validity of the proposed bootstrap procedures. A simulation study compares the bootstrap and the asymptotic tests and shows that the studentized bootstrap test behave generally better than asymptotic tests if measured by α- resp. β-errors and its run length.