Robustness of the likelihood ratio test for detection and estimation of a mean change point in a sequence of elliptically contoured observations

DOI10.1080/02331880902758029zbMath1282.62143OpenAlexW2036440247MaRDI QIDQ5400827

Apostolos Batsidis

Publication date: 12 March 2014

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331880902758029

zbMATH Keywords

invariantchange pointelliptically contoured distributionsmaximum-likelihood estimatorslikelihood-ratio criteria

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Hypothesis testing in multivariate analysis (62H15) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (4)

The risk of tensor Stein-rules in elliptically contoured distributions ⋮ Asymptotic power comparison of T²-type test and likelihood ratio test for a mean vector based on two-step monotone missing data ⋮ The bias and risk functions of some Stein-rules in elliptically contoured distributions ⋮ Tensor Stein-rules in a generalized tensor regression model

Cites Work

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• Detection of a change-point in Student-\(t\) linear regression models
• Likelihood Ratio Tests for a Change in the Multivariate Normal Mean
• Estimation of the parameters of a regression model with a multivariate t error variable
• On the Use of Discriminant Functions in Taxonomy
• Testing and Locating Variance Changepoints with Application to Stock Prices
• Sampling distributions associated with the multivariate t distribution

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