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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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