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June, 1993 The Maximum Likelihood Method for Testing Changes in the Parameters of Normal Observations
Lajos Horvath
Ann. Statist. 21(2): 671-680 (June, 1993). DOI: 10.1214/aos/1176349143

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.

Citation

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Lajos Horvath. "The Maximum Likelihood Method for Testing Changes in the Parameters of Normal Observations." Ann. Statist. 21 (2) 671 - 680, June, 1993. https://doi.org/10.1214/aos/1176349143

Information

Published: June, 1993
First available in Project Euclid: 12 April 2007

zbMATH: 0778.62016
MathSciNet: MR1232511
Digital Object Identifier: 10.1214/aos/1176349143

Subjects:
Primary: 62F03
Secondary: 62F05

Rights: Copyright © 1993 Institute of Mathematical Statistics

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Vol.21 • No. 2 • June, 1993
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