AN APPLICATION OF THE MAXIMUM-LIKELIHOOD TEST TO THE CHANGE-POINT PROBLEM
[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.
[发布日期] 1994-03-01 [发布机构]
[效力级别] [学科分类]
[关键词] MAXIMUM LIKELIHOOD;PARAMETER ESTIMATION;STANDARDIZED PARTIAL SUMS;LIMIT THEOREM;DOUBLE EXPONENTIAL DISTRIBUTION [时效性]
