ASYMPTOTIC DISTRIBUTIONS OF MAXIMUM-LIKELIHOOD TESTS FOR CHANGE IN THE MEAN

被引：4

作者：

GOMBAY, E ^{[1
]}

HORVATH, L ^{[1
]}

机构：

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

来源：

BIOMETRIKA | 1990年 / 77卷 / 02期

关键词：

Brownianbridge; Change-point; Gumbel distribution; Limittheorems; Ornstein-Uhlenbeck process;

D O I：

10.1093/biomet/77.2.411

中图分类号：

Q [生物科学];

学科分类号：

07 ; 0710 ; 09 ;

摘要：

For the maximum likelihood tests for a change in the mean of independent random variables, it is proved that the limit distribution is a double exponential, i.e. Gumbel, distribution. Our results also explain why the maximum likelihood methods are very powerful on the tails. © 1990 Biometrika Trust.

引用

页码：411 / 414

页数：4

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