Percentiles for Cramér-von Mises functionals of Gaussian processes and some applications to Bayesian tests

DOI10.1016/0304-4149(92)90044-QMaRDI QIDQ1194603zbMATH OpenOpenAlexFDO

Authors Brian J. Eastwood, Vera R. Eastwood

Publication date 4 October 1992

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(92)90044-q

zbMATH Keywords

Bayesian testschangepoint problemsdistribution of Cramér-von Mises type functionalsGaussian processharmonic regressionlimiting functionalspercentiles

Mathematics Subject Classification ID

Bayesian inference (62F15) Asymptotic properties of nonparametric inference (62G20) Linear regression; mixed models (62J05) Non-Markovian processes: hypothesis testing (62M07) Statistical tables (62Q05)

Recommendations

• A Cramér-von Mises test for Gaussian processes
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• Some nonparametric methods for changepoint problems
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• Weighted Cramér-von Mises tests with estimated parameters

Cites work

• Computing the distribution of quadratic forms in normal variables
• scientific article; zbMATH DE number 4007433 (Why is no real title available?)
• Invariance principles for changepoint problems
• Invariance principles for stochastic area and related stochastic integrals
• Limit processes for sequences of partial sums of regression residuals
• On the invariance principle for U-statistics
• Properties of sequences of partial sums of polynomial regression residuals with applications to tests for change of regression at unknown times
• Residual partial sum limit process for regression models with applications to detecting parameter changes at unknown times

Cited in

(3)

• Tests for changes under random censorship
• Tail behaviour of Gaussian processes with applications to the Brownian pillow.
• A Cramér-von Mises test for Gaussian processes

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