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

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:50

Article

GOMBAY, E ; HORVATH, L

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

DOI  :  10.1016/0304-4149(94)90154-6

来源: Elsevier

【 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.

【 授权许可】

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