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Abstract Details
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Activity Number:
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77
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Type:
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Contributed
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Date/Time:
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Sunday, July 31, 2011 : 4:00 PM to 5:50 PM
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Sponsor:
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Section on Nonparametric Statistics
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| Abstract - #300881 |
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Title:
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Empirical Likelihood Ratio Test for the Mean Change Points with Linear Trend Followed by Abrupt Change
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Author(s):
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Wei Ning*+ and Junvie Pailden
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Companies:
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Bowling Green State University and Bowling Green State University
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Address:
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450 Mathematics Science Building, Bowling Green, OH, 43403, USA
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Keywords:
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Abrupt change ;
mpirical likelihood ;
Extreme distribution ;
Consistency
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Abstract:
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In the paper, a change point model with the mean being constant up to some unknown point, then increasing linearly to another unknown point, then dropping back to the original level is studied. A nonparametric method based on the empirical likelihood test is proposed to detect and estimate the locations of change points. Under some mild conditions, the null distribution of the empirical likelihood ratio test statistic is proved to have the extreme distribution. The consistency of the test is also proved. Simulations of the powers of the test indicate that it performs well under the different assumptions of the data distribution. The test is applied to the aircraft arrival time and the stanford heart transplant to illustrate the procedure.
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