Log-likelihood ratio test for detecting transient change

Daniela Jarusková and Vladimir Piterbarg ()

Statistics & Probability Letters, 2011, vol. 81, issue 5, 552-559

Abstract: The limit behaviour of scan statistics in a form of maxima of moving sum processes with changing window size for detecting a transient change is studied. Approximate critical values obtained from tail behaviour of the limit variables that are maxima of some locally homogeneous Gaussian fields are compared with critical values obtained by simulation.

Keywords: Change; point; detection; Scan; statistics; Asymptotics; Maxima; of; locally; homogeneous; Gaussian; fields (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (9)

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