Tests for a Change-Point.

Abstract

The problem considered is that of testing a sequence of independent normal random variables with constant, known or unknown, variance for no change in mean versus alternatives with a single change-point. Various tests, such as those based on the likelihood ratio and recursive residuals, are studied. Power approximations are developed by integrating approximations for conditional boundary crossing probabilities. A comparison of several tests is made, and the power approximations obtained are compared with Monte Carlo values. Additional keywords: statistical tests. (Author).

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Document Details

Document Type
Technical Report
Publication Date
Aug 01, 1985
Accession Number
ADA159381

Entities

People

  • B. James
  • David Siegmund
  • K. L. James

Organizations

  • Stanford University

Tags

Communities of Interest

  • Energy and Power Technologies

DTIC Thesaurus Topics

  • Brownian Motion
  • Computations
  • Data Science
  • Information Science
  • Insensitive Explosives
  • Mathematical Analysis
  • New York
  • Normal Distribution
  • Numbers
  • Probability
  • Random Variables
  • Sequential Analysis
  • Statistical Algorithms
  • Statistics
  • Stochastic Processes
  • Theorems
  • United States

Fields of Study

  • Mathematics

Readers

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