Testing for multiple change points

In this paper we concentrate on testing for multiple changes in the mean of a series of independent random variables. Suggested method applies a maximum type test statistic. Our primary focus is on an effective calculation of critical values for very large sample sizes comprising (tens of) thousands of observations and a moderate to large number of segments. To that end, Monte Carlo simulations and a modified Bellman’s principle of optimality are used. It is shown that, indisputably, computer memory becomes a critical bottleneck in solving a problem of such a size. Thus, minimization of the memory requirements and appropriate order of calculations appear to be the keys to success. In addition, the formula that can be used to get approximate asymptotic critical values using the theory of exceedance probability of Gaussian fields over a high level is presented. Copyright Springer-Verlag Berlin Heidelberg 2013