Testing change-points with linear trend
作者:
N Sugiura,
R. T Ogden,
期刊:
Communications in Statistics - Simulation and Computation
(Taylor Available online 1994)
卷期:
Volume 23,
issue 2
页码: 287-322
ISSN:0361-0918
年代: 1994
DOI:10.1080/03610919408813172
出版商: Marcel Dekker, Inc.
关键词: change-point problem;smooth change model;rank tests;Nonparametric statistics;Bayes test;likelihood ratio;asymptotic distribution;Brownian bridge process;power comparison of tests;simulation
数据来源: Taylor
摘要:
Tests based on rank statistics are introduced to test for systematic changes in a sequence of independent observations. Proposed tests include a rank test analogous to the parametric likelihood ratio test and others analogous to parametric Bayes tests. The tests are usable with either one- or two-sided alternative hypotheses, and their asymptotic distributions are studied. The results of the general model are applied to two special cases, and their asymptotic distributions are also investigated. A Monte Carlo study verifies the applicability of asymptotic critical points in samples of moderate size, and other simulation studies compare power of the competing tests and their special-case versions. Finally, these tests are applied to a data set of traffic fatalities.
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