Inference About the Change-Point in a Sequence of Random Variables

1 April 1970

journal article
Published by JSTOR in Biometrika

Vol. 57 (1) , 1-17
https://doi.org/10.2307/2334932

Abstract

SUMMARY Inference is considered about the point in a sequence of random variables at which the probability distribution changes. In particular, we examine a normal distribution with changing mean. The asymptotic distribution of the maximum likelihood estimate is derived and also the asymptotic distribution of the likelihood ratio statistic for testing hypotheses about the change-point. These asymptotic distributions are compared with some finite sample empirical distributions.

Keywords

CHANGE POINT
FINITE
INFERENCE
RANDOM VARIABLES
ASYMPTOTIC DISTRIBUTION
SUMMARY
DISTRIBUTION CHANGES
SEQUENCE OF RANDOM

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