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

DOI10.1214/13-BJPS223MaRDI QIDQ462154zbMATHOpenAlexFDO

Authors Miklós Csörgo, Zhishui Hu

Publication date 15 October 2014

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

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

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)

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.

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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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