Detecting change point for a sequence of random vectors under nonnormality

DOI10.1515/ROSE.2000.8.2.127MaRDI QIDQ4516137zbMATH OpenOpenAlexFDO

Authors Jie Chen, Arjun K. Gupta

Publication date 27 November 2000

Published in Random Operators and Stochastic Equations (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/rose.2000.8.2.127

zbMATH Keywords

change pointrandom vectorslikelihood procedure

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

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• Robustness of the likelihood ratio test for detection and estimation of a mean change point in a sequence of elliptically contoured observations
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• Estimating non-simultaneous changes in the mean of vectors
• Likelihood procedure for testing change point hypothesis for multivariate Gaussian model

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