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An application of the maximum likelihood test to the change-point problem

Edit Gombay and Lajos Horvath

Stochastic Processes and their Applications, 1994, vol. 50, issue 1, 161-171

Abstract: 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.

Keywords: maximum; likelihood; parameter; estimation; standardized; partial; sums; limit; theorem; double; exponential; distribution (search for similar items in EconPapers)
Date: 1994
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