Log-likelihood ratio test for detecting transient change

DOI10.1016/J.SPL.2011.01.006zbMATH Open1209.62141OpenAlexW2011585456MaRDI QIDQ633048FDOQ633048

Authors: D. Jarušková, V. I. Piterbarg 

Publication date: 31 March 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.01.006

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zbMATH Keywords

asymptoticschange point detectionscan statisticsmaxima of locally homogeneous Gaussian fields

Mathematics Subject Classification ID

Inference from stochastic processes (62M99) Asymptotic distribution theory in statistics (62E20) Hypothesis testing in multivariate analysis (62H15)

Cites Work

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• Convergence Criteria for Multiparameter Stochastic Processes and Some Applications
• Tail probabilities for the null distribution of scanning statistics
• Large-deviation approximations to the distribution of scan statistics
• Maxima of asymptotically Gaussian random fields and moderate deviation approximations to boundary crossing probabilities of sums of random variables with multidimensional indices
• Scan statistics
• Approximate tail probabilities for the maxima of some random fields
• Title not available (Why is that?)
• Boundary-crossing probabilities of some random fields related to likelihood ratio tests for epidemic alternatives
• Testing a homogeneity of stochastic processes

Cited In (24)

• Boundary crossing probabilities for scan statistics and their applications to change-point detec\-tion
• Epidemic change-point detection in general integer-valued time series
• Epidemic change tests for the mean of innovations of an AR(1) process
• Detecting and estimating changes in dependent functional data
• On maxima of chi-processes over threshold dependent grids
• Tail asymptotic behavior of the supremum of a class of chi-square processes
• Likelihood ratio test for change in persistence
• On the limit properties of the last exit time and the first crossing point for the stationary dependent chi-sequences
• Testing for multiple change points
• Testing for epidemic changes in the mean of a multiparameter stochastic process
• Estimation of change-point models
• Extremes of locally stationary chi-square processes with trend
• Extremes on different grids and continuous time of stationary processes
• Detection of transient change in mean -- a linear behavior inside epidemic interval
• On the asymptotic distribution of the maxima from Gaussian functions subject to missing observations
• Power of the scan statistic in detecting a changed segment in a Bernoulli sequence
• Almost sure central limit theorems for the maxima of Gaussian functions
• Epidemic change-point detection in general causal time series
• Detecting non-simultaneous changes in means of vectors
• Detecting anomalies in fibre systems using 3-dimensional image data
• Piterbarg theorems for chi-processes with trend
• Exact asymptotics and limit theorems for supremum of stationary \(\chi\)-processes over a random interval
• Change-point detection and bootstrap for Hilbert space valued random fields
• Sequential detection of transient changes

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