Likelihood procedure for testing change point hypothesis for multivariate Gaussian model

DOI10.1515/ROSE.1995.3.3.235MaRDI QIDQ4852285zbMATH OpenOpenAlexFDO

Authors Jie Chen, Arjun K. Gupta

Publication date 20 February 1996

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

Full work available at URL https://doi.org/10.1515/rose.1995.3.3.235

zbMATH Keywords

Schwarz information criterionmultivariate Gaussian modellikelihood proceduretesting the change point hypothesis

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12) Hypothesis testing in multivariate analysis (62H15)

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(10)

• Elasticity as a measure for online determination of remission points in ongoing epidemics
• Detection of a change-point in Student-\(t\) linear regression models
• A test for detecting the change-point of the mean in a Gaussian model
• Statistical inference of covariance change points in gaussian model
• On the near equivalence of the testimation and Schwarz information criterion (SIC) to study Cepheid period-luminosity relation
• Change point analysis of a Gaussian model
• Asymptotic study of the change-point mle in multivariate Gaussian families under contiguous alternatives
• Testing for a change point in linear regression models
• Change points with linear trend for the exponential distribution
• 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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