On the asymptotic behavior of a class of nonparametric tests for a change-point problem

Yi-Ching Yao

Statistics & Probability Letters, 1990, vol. 9, issue 2, 173-177

Abstract: A class of linear rank statistics is considered for testing a sequence of independent random variables with common distribution against alternatives involving a change in distribution at an unknown time point. It is shown that, under the null hypothesis and suitably normalized, this class of statistics converges in distribution to the double exponential extreme value distribution.

Keywords: Double; exponential; distribution; linear; rank; statistic; extreme; value; change-point (search for similar items in EconPapers)
Date: 1990
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Citations: View citations in EconPapers (5)

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