An application of the maximum likelihood test to the change-point problem
From MaRDI portal
Publication:1318338
DOI10.1016/0304-4149(94)90154-6zbMath0789.62017OpenAlexW1988330066MaRDI QIDQ1318338
Publication date: 13 June 1994
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4149(94)90154-6
change-point problemlimit distributiondouble exponential distributiondouble exponentialstandardized partial sumsmaximum-likelihood-type statistic
Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03) Foundations and philosophical topics in statistics (62A01)
Related Items (40)
Epidemic Change Model for the Exponential Family ⋮ Cusum Test for Parameter Change Based on the Maximum Likelihood Estimator ⋮ Empirical likelihood for change point detection in autoregressive models ⋮ Maximum log-likelihood ratio test for a change in three parameter Weibull distribution ⋮ ON EXACT INFERENCE FOR CHANGE IN A POISSON SEQUENCE ⋮ Changepoint Estimation in a Segmented Linear Regression via Empirical Likelihood ⋮ On the asymptotic distribution of the scan statistic for empirical distributions ⋮ Sequential Comparison of Two Treatments Using Weighted Wald-Type Statistics ⋮ Approximations for the time of change and the power function in change-point models ⋮ Empirical likelihood ratio test for the change-point problem ⋮ Parametric methodologies for detecting changes in maximum temperature of Tlaxco, Tlaxcala, México ⋮ Multiscale change point detection via gradual bandwidth adjustment in moving sum processes ⋮ Two non parametric methods for change-point detection in distribution ⋮ Asymptotic properties of pseudo maximum likelihood estimators and test in semi-parametric copula models with multiple change points ⋮ Change in the mean in the domain of attraction of the normal law via Darling-Erdős theorems ⋮ On \(L^2\) space approach to change point problems ⋮ Bounding the maximum of dependent random variables ⋮ An Optimal Retrospective Change Point Detection Policy ⋮ Sequential testing of process capability indices ⋮ A more powerful test identifying the change in mean of functional data ⋮ Asymptotic properties of \(M\)-estimators based on estimating equations and censored data in semi-parametric models with multiple change points ⋮ A semiparametric maximum likelihood ratio test for the change point in copula models ⋮ Retrospective Change Point Detection: From Parametric to Distribution Free Policies ⋮ Guaranteed maximum likelihood splitting tests of a linear regression model ⋮ Change point problems in the model of logistic regression ⋮ Retrospective Parametric Tests for Homogeneity of Data ⋮ Monitoring parameter change in AR\((p)\) time series models ⋮ Density-Based Empirical Likelihood Ratio Change Point Detection Policies ⋮ The weighted sequential likelihood ratio ⋮ Darling-Erdős-type theorems for sums of Gaussian variables with long-range dependence ⋮ Average Most Powerful Tests for a Segmented Regression ⋮ An extension of a change-point problem ⋮ Guaranteed Local Maximum Likelihood Detection of a Change Point in Nonparametric Logistic Regression ⋮ Nonparametric AMOC Changepoint Tests for Stochastically Ordered Alternatives ⋮ Change-point problems: bibliography and review ⋮ Change‐point monitoring in linear models ⋮ Structural breaks in time series ⋮ Bayesian Estimation of Change Point in Inverse Weibull Sequence ⋮ Detection and estimation of abrupt changes in the variability of a process ⋮ The likelihood ratio method for testing changes in the parameters of double exponential observations
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- The maximum likelihood method for testing changes in the parameters of normal observations
- A limit theorem for the maximum of normalized sums of independent random variables
- The likelihood ratio test for the change point problem for exponentially distributed random variables
- On tests for detecting change in mean
- The limit distributions of likelihood ratio and cumulative sum tests for a change in a binomial probability
- The power of likelihood ratio and cumulative sum tests for a change in a binomial probability
- Approximation Theorems of Mathematical Statistics
- Asymptotic distributions of maximum likelihood tests for change in the mean
- Confidence regions and tests for a change-point in a sequence of exponential family random variables
- Likelihood Ratio Tests for a Change in the Multivariate Normal Mean
- Tests for a change-point
- Some One-Sided Tests for Change in Level
- Testing a Sequence of Observations for a Shift in Location
This page was built for publication: An application of the maximum likelihood test to the change-point problem
