Testing for changes in the mean or variance of a stochastic process under weak invariance

被引：25
作者：
Horváth, L
Steinebach, J
机构：
[1] Univ Utah, Dept Math, Salt Lake City, UT 84112 USA
[2] Univ Marburg, D-35032 Marburg, Germany
来源：
JOURNAL OF STATISTICAL PLANNING AND INFERENCE | 2000年 / 91卷 / 02期
关键词：
change-point test; invariance principle; CUSUM; Brownian bridge; consistency;
D O I：
10.1016/S0378-3758(00)00188-9
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Asymptotic CUSUM tests are derived for detecting changes in the mean or variance of a stochastic process for which a weak invariance principle is available. Conditions for the consistency of these tests are also discussed. (C) 2000 Elsevier Science B.V. All rights reserved.
引用
收藏
页码：365 / 376
页数：12
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