Testing and Interval Estimation in a Change-Point Model Allowing at Most One Change.

Abstract

This paper considers the simplest model of change-point in which at most one change in the mean may occur. Results include: 1) Introduction of a test for the null hypothesis that no change in the mean occurs, and the limit distribution of the test-statistic; 2) Approximate calculation of the power of the test; 3) Interval estimation of the position of change; 4) Point estimation of the jump at the point of change and its asymptotic distribution; and 5) Evaluation of the bias of the MLE of error variance. Keywords: Brownian motion process. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Jul 01, 1987
Accession Number
ADA185525

Entities

People

  • Xiru Chen

Organizations

  • University of Pittsburgh

Tags

Communities of Interest

  • C4I
  • Energy and Power Technologies
  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Air Force
  • Brownian Motion
  • Data Science
  • Distribution Functions
  • Estimators
  • Gaussian Processes
  • Governments
  • Inequalities
  • Information Science
  • Intervals
  • Multivariate Analysis
  • Probability
  • Random Variables
  • Statistical Algorithms
  • Statistical Inference
  • Surveys
  • United States Government

Fields of Study

  • Mathematics

Readers

  • Statistical inference.