  This paper studies the change point problem for a general parametric,
univariate or multivariate family of distributions. An information theoretic
procedure is developed which is based on general divergence measures for
testing the hypothesis of the existence of a change. For comparing the accuracy
of the new test-statistic a simulation study is performed for the special case
of a univariate discrete model. Finally, the procedure proposed in this paper
is illustrated through a classical change-point example.
