The Annals of Statistics

The Maximum Likelihood Method for Testing Changes in the Parameters of Normal Observations

Lajos Horvath

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Abstract

We compute the asymptotic distribution of the maximum likelihood ratio test when we want to check whether the parameters of normal observations 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.

Article information

Source
Ann. Statist. Volume 21, Number 2 (1993), 671-680.

Dates
First available in Project Euclid: 12 April 2007

Permanent link to this document
http://projecteuclid.org/euclid.aos/1176349143

Digital Object Identifier
doi:10.1214/aos/1176349143

Mathematical Reviews number (MathSciNet)
MR1232511

Zentralblatt MATH identifier
0778.62016

JSTOR
links.jstor.org

Subjects
Primary: 62F03: Hypothesis testing
Secondary: 62F05: Asymptotic properties of tests

Keywords
Darling-Erdos-type limit theorems maximum likelihood strong approximation

Citation

Horvath, Lajos. The Maximum Likelihood Method for Testing Changes in the Parameters of Normal Observations. Ann. Statist. 21 (1993), no. 2, 671--680. doi:10.1214/aos/1176349143. http://projecteuclid.org/euclid.aos/1176349143.


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