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

被引：49
|
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.
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页码：161 / 171
页数：11
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