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Activity Number:
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608
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Type:
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Contributed
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Date/Time:
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Thursday, August 6, 2009 : 10:30 AM to 12:20 PM
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Sponsor:
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IMS
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| Abstract - #305461 |
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Title:
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An Asymptotic Test for a Changepoint in Densities of a General Class
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Author(s):
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Dong-Yun Kim*+
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Companies:
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Virginia Polytechnic Institute and State University
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Address:
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, , VA, 24061,
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Keywords:
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change point ; likelihood ratio test ; weak convergence ; Gaussian process
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Abstract:
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In this paper we discuss a likelihood-ratio test of a change point in densities of a general class. We show that the log-likelihood ratio process converges weakly to a nonstationary Gaussian process and obtain the critical values of the asymptotic test from the supremum of the limiting process. We also discuss the power of the test via computer simulation.
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- The address information is for the authors that have a + after their name.
- Authors who are presenting talks have a * after their name.
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