Research Article
Testing for Change in Mean of Independent Multivariate Observations with Time Varying Covariance
Table 1
Empirical sizes (%).
| | α | | | |
| | 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 |
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