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

DOI10.1016/0378-3758(90)90133-FzbMath0724.62024MaRDI QIDQ758034

Benzion Boukai

Publication date: 1990

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

zbMATH Keywords

change-point problem; limiting distribution; generalized likelihood ratio test; local power; one-parameter exponential family; asymptotic power functions; Chernov-Zacks' quasi- Bayesian test; location parameter family; maximum likelihood type statistics; power comparisons; Retrospective tests; scale parameter family; supremum of Brownian motion process

Mathematics Subject Classification ID

62E20: Asymptotic distribution theory in statistics

62F05: Asymptotic properties of parametric tests

Related Items

Nonparametric estimation in a two change-point model, Graphically based interval estimation for the change-point, An explicit expression for the distribution of the supremum of brownian motion with a change point, On the change–point problem

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Sequential analysis. Tests and confidence intervals
• Boundary crossing probabilities and statistical applications
• On tests for detecting change in mean
• 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
• The power of likelihood ratio and cumulative sum tests for a change in a binomial probability
• Tests for a change-point
• Testing a Sequence of Observations for a Shift in Location
• On Detecting Changes in the Mean of Normal Variates
• Estimating the Current Mean of a Normal Distribution which is Subjected to Changes in Time
• Convergence of stochastic processes