Confidence Sets in Change-Point Problems. Revision.

Abstract

Several methods are discussed for confidence set estimation of a change-point in a sequence of independent observations from completely specified distribution. The method based on the likelihood ratio statistic is extended to the case of independent observations from an exponential family. Joint confidence sets for the change-point and the parameters of the exponential family are also considered. Keywords: Change-point, Likelihood ratio, Boundary crossing probabilities; Random variable.

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Document Details

Document Type
Technical Report
Publication Date
May 01, 1987
Accession Number
ADA181075

Entities

People

  • David Siegmund

Organizations

  • Stanford University

Tags

Communities of Interest

  • C4I

DTIC Thesaurus Topics

  • Accidents
  • Asymptotic Series
  • Boundaries
  • Brownian Motion
  • Computational Science
  • Distribution Functions
  • Military Research
  • New York
  • Normal Distribution
  • Probability
  • Random Variables
  • Random Walk
  • Sequences
  • Statistics
  • Two Dimensional
  • United States
  • United States Government

Fields of Study

  • Mathematics

Readers

  • Statistical inference.