Nonparametric Tests for Nonstandard Change-Point Problems
Ferger, D.
Ann. Statist., Tome 23 (1995) no. 6, p. 1848-1861 / Harvested from Project Euclid
We consider independent random elements $X_1, \ldots, X_n, n \in \mathbb{N}$, with values in a measurable space $(\mathscr{X}, \mathscr{B})$ so that $X_1, \ldots, X_{\lbrack n\theta\rbrack}$ have a common distribution $\nu_1$ and the remaining $X_{\lbrack n\theta\rbrack + 1}, \ldots, X_n$ have a common distribution $\nu_2 \neq \nu_1$, for some $\theta \in (0, 1)$. The change point $\theta$ as well as the distributions are unknown. A family of tests is introduced for the nonstandard change-point problem $H_0: \theta \in \Theta_0$ versus $H_1: \theta \not\in \Theta_0$, where $\Theta_0$ is an arbitrary subset of (0, 1). The tests are shown to be asymptotic level-$\alpha$ tests and to be consistent on a large class of alternatives. The same holds for the corresponding bootstrap versions of the tests. Moreover, we present a detailed investigation of the local power.
Publié le : 1995-10-14
Classification:  Tests for change-point problems,  maximizer of a two-sided random walk,  consistency,  local power,  bootstrap,  62G10,  62G20,  62G09,  60F05
@article{1176324326,
     author = {Ferger, D.},
     title = {Nonparametric Tests for Nonstandard Change-Point Problems},
     journal = {Ann. Statist.},
     volume = {23},
     number = {6},
     year = {1995},
     pages = { 1848-1861},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176324326}
}
Ferger, D. Nonparametric Tests for Nonstandard Change-Point Problems. Ann. Statist., Tome 23 (1995) no. 6, pp.  1848-1861. http://gdmltest.u-ga.fr/item/1176324326/