The asymptotic power function of GLR tests for local change of parameter

DOI10.1016/0378-3758(90)90133-FzbMath0724.62024OpenAlexW1986555406MaRDI QIDQ758034

Benzion Boukai

Publication date: 1990

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-3758(90)90133-f

zbMATH Keywords

change-point problemlimiting distributiongeneralized likelihood ratio testlocal powerone-parameter exponential familyasymptotic power functionsChernov-Zacks' quasi- Bayesian testlocation parameter familymaximum likelihood type statisticspower comparisonsRetrospective testsscale parameter familysupremum of Brownian motion process

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric tests (62F05)

Related Items

Graphically based interval estimation for the change-point ⋮ On the change–point problem ⋮ Nonparametric estimation in a two change-point model ⋮ Change-point problems: bibliography and review ⋮ An explicit expression for the distribution of the supremum of brownian motion with a change point

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