Conditional boundary crossing probabilities for some random fields, with applications to change-point problems (Q808085)

For \(Y_ 1,Y_ 2,..\). i.i.d. with \(Y_ 1\sim N(\mu,\sigma^ 2)\) and \(S_ n=\sum^{n}_{1}Y_ i\), \({\hat \sigma}^ 2=(1/m)\sum^{n}_{1}(Y_ i-S_ m/m)^ 2\), the large deviation is obtained for the probabilities that \[ \max_{m_ 0\leq j-i\leq m_ 1}| S_ j-S_ i| /[(j-i)(1-(j-i)/m)]\geq {\hat \sigma}b \] conditionally given \(S_ m=0\). This result is applied to the double change-points model with some nuisance parameters, and we develop the large deviation for the significance level of the likelihood ratio test.