Conditional boundary crossing probabilities and two-stage tests for a change-point

Yao, Q.W. (1996) Conditional boundary crossing probabilities and two-stage tests for a change-point. Scandinavian Journal of Statistics, 23 (4). pp. 511-525. ISSN 0303-6898. (The full text of this publication is not available from this repository)

The full text of this publication is not available from this repository. (Contact us about this Publication)

Abstract

For normal random walks S-1,S-2,..., a large deviation approximation is obtained for the probability of the event that the stochastic process {S-n} crosses over the boundary {n(1-n/m)}(1/2) in the time interval m(0) less than or equal to n less than or equal to m(1) (<m) conditionally on S-m0 = S-m1 being fixed. The result is applied to a change-point problem to approximate the significance level of the two-stage test, which is defined as a stochastic convex combination of the modified likelihood ratio test and Pettitt's test.

Item Type: Article
Uncontrolled keywords: boundary crossing probability; change-point; large deviation; likelihood ratio test; Pettitt's test
Subjects: H Social Sciences > HA Statistics
Divisions: Faculties > Science Technology and Medical Studies > School of Mathematics Statistics and Actuarial Science > Statistics
Depositing User: P. Ogbuji
Date Deposited: 26 Aug 2009 10:53
Last Modified: 26 Aug 2009 10:53
Resource URI: http://kar.kent.ac.uk/id/eprint/18598 (The current URI for this page, for reference purposes)
  • Depositors only (login required):