Semiparametric tests for change-points with epidemic alternatives

被引：8

作者：

Guan, Zhong ^{[1
]}

机构：

[1] Indiana Univ, Dept Math Sci, South Bend, IN 46634 USA

来源：

JOURNAL OF STATISTICAL PLANNING AND INFERENCE | 2007年 / 137卷 / 06期

关键词：

empirical likelihood; epidemic alternative; exponential family; Kuiper's statistics logistic regression; profile likelihood; semiparametric change-point model; Watson's statistic;

D O I：

10.1016/j.jspi.2006.05.006

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The empirical likelihood ratio-based semiparametric tests of change-points with epidemic alternatives are constructed and are proved to have the same limiting null distributions as some well-known tests. The maximum empirical likelihood estimates of the change-points and the epidemic duration are shown to be consistent. Data-based model tests are also provided. The method is applied to a stock market price data and the Nile river data. (c) 2006 Elsevier B.V. All rights reserved.

引用

页码：1748 / 1764

页数：17

共 50 条

[21] How to Indicate Change-points in Economic Development
Hindls, Richard
Hronova, Stanislava
EKONOMICKY CASOPIS, 2012, 60 (08): : 791 - 814
[22] AN ALGORITHM FOR COMPUTING NONPARAMETRIC ESTIMATORS OF CHANGE-POINTS
SCARIANO, SM
WATKINS, TA
COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 1988, 17 (04) : 1511 - 1532
[23] The multiple change-points problem for the spectral distribution
Lavielle, M
Ludeña, C
BERNOULLI, 2000, 6 (05) : 845 - 869
[24] Bootstrap test for change-points in nonparametric regression
Gijbels, I
Goderniaux, AC
JOURNAL OF NONPARAMETRIC STATISTICS, 2004, 16 (3-4) : 591 - 611
[25] A SIMPLE BAYESIAN APPROACH TO MULTIPLE CHANGE-POINTS
Lai, Tze Leung
Xing, Haipeng
STATISTICA SINICA, 2011, 21 (02) : 539 - 569
[26] Detecting change-points in aircraft noise effects
Krauth, J
CLASSIFICATION AND INFORMATION PROCESSING AT THE TURN OF THE MILLENNIUM, 2000, : 386 - 395
[27] CHANGE-POINTs: A proposal for software productivity measurement
J Syst Software, 1 (71-91):
[28] Developing a new BIC for detecting change-points
Shen, Gang
Ghosh, Jayanta K.
JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 2011, 141 (04) : 1436 - 1447
[29] Estimation of multiple change-points in kinetic signals
Staude, G.
Hofer, H.
Wolf, W.
Bauch, G.
WORLD CONGRESS ON MEDICAL PHYSICS AND BIOMEDICAL ENGINEERING, VOL 25, PT 4: IMAGE PROCESSING, BIOSIGNAL PROCESSING, MODELLING AND SIMULATION, BIOMECHANICS, 2010, 25 : 1087 - 1090
[30] Confidence distributions for change-points and regime shifts
Cunen, Celine
Hermansen, Gudmund
Hjort, Nils Lid
JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 2018, 195 : 14 - 34

← 1 2 3 4 5 →