Test Procedures for Change Point in a General Class of Distributions

[摘要] This paper is concerned with the change point analysis in a general class of distributions. The quasi-Bayes and likelihood ratio test procedures are considered to test the null hypothesis of no change point. Exact and asymptotic behaviors of the two test statistics are derived. To compare the performances of two test procedures, numerical significance levels and powers of tests are tabulated for certain selected values of the parameters. Estimation of the change point based on these two test procedures are also considered. Moreover, the epidemic change point problem is studied as an alternative model for the single change point model. A real data set with epidemic change model is analyzed by two test procedures.

[学科分类] 土木及结构工程学

[关键词] Bayesian test;Brownian motion;change point