Inference about the change-point in a sequence of random variables

David V. Hinkley

Biometrika, 1970, vol. 57, issue 1, 1-17

Abstract: SummaryInference is considered about the point in a sequence of random variables at which the probability distribution changes. In particular, we examine a normal distribution with changing mean. The asymptotic distribution of the maximum likelihood estimate is derived and also the asymptotic distribution of the likelihood ratio statistic for testing hypotheses about the change-point. These asymptotic distributions are compared with some finite sample empirical distributions.

Date: 1970
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1093/biomet/57.1.1 (application/pdf)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:oup:biomet:v:57:y:1970:i:1:p:1-17.

Ordering information: This journal article can be ordered from
https://academic.oup.com/journals

Access Statistics for this article

Biometrika is currently edited by Paul Fearnhead

More articles in Biometrika from Biometrika Trust Oxford University Press, Great Clarendon Street, Oxford OX2 6DP, UK.
Bibliographic data for series maintained by Oxford University Press ().