THE MAXIMUM-LIKELIHOOD METHOD FOR TESTING CHANGES IN THE PARAMETERS OF NORMAL OBSERVATIONS

• 成果类型: Article
• 署名作者: HORVATH, L
• 刊物名称: ANNALS OF STATISTICS
• ISSN/ISSBN: 0090-5364
• DOI: 10.1214/aos/1176349143
• 发表日期: 1993
• 页码: 671-680
• 关键词: Change-point; sequence

摘要

We compute the asymptotic distribution of the maximum likelihood ratio test when we want to check whether the parameters of normal observations have changed at an unknown point. The proof is based on the limit distribution of the largest deviation between a d-dimensional Ornstein-Uhlenbeck process and the origin.