
Accession Number : ADA185525
Title : Testing and Interval Estimation in a ChangePoint 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 changepoint 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 teststatistic; 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