THE MAXIMUM-LIKELIHOOD METHOD FOR TESTING CHANGES IN THE PARAMETERS OF NORMAL OBSERVATIONS

Authors
HORVATH L
Citation
L. Horvath, THE MAXIMUM-LIKELIHOOD METHOD FOR TESTING CHANGES IN THE PARAMETERS OF NORMAL OBSERVATIONS, Annals of statistics, 21(2), 1993, pp. 671-680
Citations number
15
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Annals of statistics → ACNP
ISSN journal
00905364
Volume
21
Issue
2
Year of publication
1993
Pages
671 - 680
Database
ISI
SICI code
0090-5364(1993)21:2<671:TMMFTC>2.0.ZU;2-2
Abstract
We compute the asymptotic distribution of the maximum likelihood ratio test when we want to check whether the parameters of normal observati ons have changed at an unknown point. The proof is based on the limit distribution of the largest deviation between a d-dimensional Ornstein -Uhlenbeck process and the origin.