Change in the mean in the domain of attraction of the normal law via Darling-Erdős theorems

DOI10.1214/13-BJPS223zbMATH Open1304.62063arXiv1304.1370OpenAlexW2962739911MaRDI QIDQ462154FDOQ462154

Authors: Miklós Csörgo, Zhishui Hu 

Publication date: 15 October 2014

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Abstract: This paper studies the problem of testing the null assumption of no-change in the mean of chronologically ordered independent observations on a random variable $X$ {it versus} the at most one change in the mean alternative hypothesis. The approach taken is via a Darling-ErdH{o}s type self-normalized maximal deviation between sample means before and sample means after possible times of a change in the expected values of the observations of a random sample. Asymptotically, the thus formulated maximal deviations are shown to have a standard Gumbel distribution under the null assumption of no change in the mean. A first such result is proved under the condition that $E{X}^{2}loglog(|X|+1)<infty$, while in the case of a second one, $X$ is assumed to be in a specific class of the domain of attraction of the normal law, possibly with infinite variance.

Full work available at URL: https://arxiv.org/abs/1304.1370

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zbMATH Keywords

Brownian bridgeGumbel distributiondomain of attraction of the normal lawchange in the meanweighted metricsDarling-Erdős theorems

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Central limit and other weak theorems (60F05)

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Cited In (1)

• Testing for change in the mean via convergence in distribution of sup-functionals of weighted tied-down partial sums processes

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