THE MAXIMUM-LIKELIHOOD METHOD FOR TESTING CHANGES IN THE PARAMETERS OF NORMAL OBSERVATIONS

被引：115

作者：

HORVATH, L

机构：

来源：

ANNALS OF STATISTICS | 1993年 / 21卷 / 02期

关键词：

DARLING-ERDOS TYPE LIMIT THEOREMS; MAXIMUM LIKELIHOOD; STRONG APPROXIMATION;

D O I：

10.1214/aos/1176349143

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：

We compute the asymptotic distribution of the maximum likelihood ratio test when we want to check whether the parameters of normal observations have changed at an unknown point. The proof is based on the limit distribution of the largest deviation between a d-dimensional Ornstein-Uhlenbeck process and the origin.

引用

页码：671 / 680

页数：10

共 15 条

[1]

Csarga M., 1988, HDB STATISTICS, V7, P403

[2] A LIMIT THEOREM FOR THE MAXIMUM OF NORMALIZED SUMS OF INDEPENDENT RANDOM VARIABLES [J].