Yao, Qiwei
(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.
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## 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 > Sciences > School of Mathematics Statistics and Actuarial Science > Statistics |

Depositing User: | P. Ogbuji |

Date Deposited: | 26 Aug 2009 10:53 UTC |

Last Modified: | 28 May 2019 13:56 UTC |

Resource URI: | https://kar.kent.ac.uk/id/eprint/18598 (The current URI for this page, for reference purposes) |

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