Testing for Change in Mean of Independent Multivariate Observations with Time Varying Covariance

Table 1

Empirical sizes (%).

	α	𝑛=30	𝑛=100	𝑛=500
	1%	0.2	0.3	0.4
Model 1	5%	2.1	2.9	4
	10%	4.9	7.3	8.9
	1%	0.0	0.2	0.3
Model 2	5%	1.1	2.7	3.0
	10%	2.9	6.4	7.3