Accession Number : ADA185525

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

Descriptive Note : Technical rept.,

Corporate Author : PITTSBURGH UNIV PA CENTER FOR MULTIVARIATE ANALYSIS

Personal Author(s) : Chen, Xiru

PDF Url : ADA185525

Report Date : Jul 1987

Pagination or Media Count : 29

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)

Descriptors :   *NONPARAMETRIC STATISTICS, *STATISTICAL TESTS, *MATHEMATICAL MODELS, ASYMPTOTIC SERIES, BROWNIAN MOTION, COMPUTATIONS, ERRORS, ESTIMATES, HYPOTHESES, INTERVALS, BIAS, MEAN, STATISTICAL INFERENCE, CONFIDENCE LIMITS

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE