Some results on estimating a change-point using non-parametric type statistics
- 1 October 1980
- journal article
- research article
- Published by Taylor & Francis in Journal of Statistical Computation and Simulation
- Vol. 11 (3-4) , 261-272
- https://doi.org/10.1080/00949658008810413
Abstract
A Mann-Whitney type statistic is used to estimate a change-point when a change, at an unknown point in a sequence of random variables, has taken place. This estimate is compared, using Monte Carlo techniques, with the normal theory maximum likelihood estimate, when a location change has occurred, for different underlying distributions ranging from the normal to the long tailed “normal over uniform” distribution. The distribution of the Mann-Whitney type estimate remains fairly constant over the various distributions. Two generalisations of the statistic are considered and investigated.Keywords
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