Inference about the change-point in a sequence of random variables

Inference about the change-point in a sequence of random variables

SUMMARY Inference is considered about the point in a sequence of random variables at which the probability distribution changes. In particular, we examine a normal distribution with changing mean. The asymptotic distribution of the maximum likelihood estimate is derived and also the asymptotic distr...

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Veröffentlicht in:Biometrika 1970-04, Vol.57 (1), p.1-17
1. Verfasser: Hinkley, David V.
Format: Artikel
Sprache:eng
Schlagworte:
Approximation
Density distributions
Differential equations
Gaussian distributions
Inference
Maximum likelihood estimators
Random variables
Random walk
Statistical variance
Statistics
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Zusammenfassung:SUMMARY Inference is considered about the point in a sequence of random variables at which the probability distribution changes. In particular, we examine a normal distribution with changing mean. The asymptotic distribution of the maximum likelihood estimate is derived and also the asymptotic distribution of the likelihood ratio statistic for testing hypotheses about the change-point. These asymptotic distributions are compared with some finite sample empirical distributions.
ISSN:0006-3444
1464-3510
DOI:10.1093/biomet/57.1.1