An application of the maximum likelihood test to the change-point problem
An application of the maximum likelihood test to the change-point problem
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DOI：
10.1016/0304-4149(94)90154-6
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发表时间：
1994-03
影响因子：
1.4
通讯作者：
E. Gombay;Lajos Horváth
中科院分区：
文献类型：
--
作者：
E. Gombay;Lajos Horváth
一个最大似然型统计量是用来检验一个序列的观测值，参数没有变化，对可能的变化。我们证明了在零假设下，适当归一化和集中统计量的极限分布是双指数分布。
A maximum-likelihood-type statistic is derived for testing a sequence of observations for no change in the parameter against a possible change. We prove that the limit distribution of the suitably normalized and centralized statistic is double exponential under the null hypothesis.