Robustness of the likelihood ratio test for detection and estimation of a mean change point in a sequence of elliptically contoured observations

被引：8

作者：

Batsidis, Apostolos ^{[1
]}

机构：

[1] Univ Ioannina, Dept Math, GR-45110 Ioannina, Greece

来源：

STATISTICS | 2010年 / 44卷 / 01期

关键词：

change point; elliptically contoured distributions; likelihood-ratio criteria; invariant; maximum-likelihood estimators; LINEAR-REGRESSION; STOCK-PRICES; DISTRIBUTIONS; MODELS;

D O I：

10.1080/02331880902758029

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：

The likelihood ratio test (LRT) for testing a mean change after an unknown point in a sequence of n uncorrelated p-dimensional elliptically contoured distributed observations is established. It is shown that the LRT has the same form as well as null distribution as in the multivariate normal case.

引用

页码：17 / 24

页数：8

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