Comments on: Extensions of some classical methods in change point analysis DISCUSSION

Abstract

First of all, we would like to congratulate and to thank Lajos Horvath and Gregory Rice for providing an excellent overview of a recent development in the area of change point. This area is developing quite fast with many new procedures, many new theoretical results and many applications.

We appreciate that the paper brings extension of existing empirical processes techniques to time series and numerical examples giving the performance for finite sample setups as well as demonstrations of the discussed methods on real data. In the following, we would like to make several remarks on the topics that were discussed in the paper only very briefly.

Keywords

• Change point problem
• Robust and nonparametric procedures
• Bootstrap
• Multiple changes