Permutation tests in change point analysis

被引：55

作者：

Antoch, J ^{[1
]}

Husková, M ^{[1
]}

机构：

[1] Charles Univ, Dept Stat, Prague 18600, Czech Republic

来源：

STATISTICS & PROBABILITY LETTERS | 2001年 / 53卷 / 01期

关键词：

change(s) in location model; permutation tests; Monte Carlo;

D O I：

10.1016/S0167-7152(01)00009-8

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The critical values for various tests for changes in location model are obtained through the use of permutation tests principle. Theoretical results show that in the limit these new "permutation tests" behave in the same way as the "classical tests" stemming from both maximum likelihood and Bayes principles. However, the results of the simulation study show that the permutation tests behave considerably better than the corresponding classical tests if measured by the critical values attained. (C) 2001 Elsevier Science B.V. All rights reserved.

引用

页码：37 / 46

页数：10

共 8 条

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