The asymptotic power function of GLR tests for local change of parameter

DOI10.1016/0378-3758(90)90133-FzbMATH Open0724.62024OpenAlexW1986555406MaRDI QIDQ758034FDOQ758034

Benzion Boukai

Publication date: 1990

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-3758(90)90133-f

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zbMATH Keywords

change-point problemgeneralized likelihood ratio testlocal powerlimiting distributionone-parameter exponential familyasymptotic power functionsChernov-Zacks' quasi- Bayesian testlocation parameter familymaximum likelihood type statisticspower comparisonsRetrospective testsscale parameter familysupremum of Brownian motion process

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05)

Cites Work

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• Sequential analysis. Tests and confidence intervals
• Convergence of stochastic processes
• Boundary crossing probabilities and statistical applications
• An explicit expression for the distribution of the supremum of brownian motion with a change point
• Asymptotic theory of some tests for a possible change in the regression slope occurring at an unknown time point
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• Estimating the Current Mean of a Normal Distribution which is Subjected to Changes in Time
• Testing a Sequence of Observations for a Shift in Location
• On Detecting Changes in the Mean of Normal Variates
• On tests for detecting change in mean
• Tests for a change-point
• The power of likelihood ratio and cumulative sum tests for a change in a binomial probability

Cited In (6)

• On the change–point problem
• Retrospective Parametric Tests for Homogeneity of Data
• Nonparametric estimation in a two change-point model
• An explicit expression for the distribution of the supremum of brownian motion with a change point
• Graphically based interval estimation for the change-point
• Change-point problems: bibliography and review

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