AN APPLICATION OF THE MAXIMUM-LIKELIHOOD TEST TO THE CHANGE-POINT PROBLEM

被引：51

作者：

GOMBAY, E

HORVATH, L

机构：

[1] UNIV UTAH, DEPT MATH, SALT LAKE CITY, UT 84112 USA

[2] UNIV ALBERTA, DEPT STAT & APPL PROBABIL, EDMONTON T6G 2E1, ALBERTA, CANADA

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 1994年 / 50卷 / 01期

基金：

加拿大自然科学与工程研究理事会;

关键词：

MAXIMUM LIKELIHOOD; PARAMETER ESTIMATION; STANDARDIZED PARTIAL SUMS; LIMIT THEOREM; DOUBLE EXPONENTIAL DISTRIBUTION;

D O I：

10.1016/0304-4149(94)90154-6

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：

A maximum-likelihood-type statistic is derived for testing a sequence of observations for no change in the parameter against a possible change. We prove that the limit distribution of the suitably normalized and centralized statistic is double exponential under the null hypothesis.

引用

页码：161 / 171

页数：11

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