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
收藏
页码：1748 / 1764
页数：17
相关论文
共 50 条
  • [31] Change-points in US business cycle durations
    Davig, Troy
    STUDIES IN NONLINEAR DYNAMICS AND ECONOMETRICS, 2007, 11 (02):
  • [32] Detection of multiple change-points in multivariate data
    Maboudou-Tchao, Edgard M.
    Hawkins, Douglas M.
    JOURNAL OF APPLIED STATISTICS, 2013, 40 (09) : 1979 - 1995
  • [33] Comparison of multiscale multiple change-points estimators
    Kim, Jaehee
    KOREAN JOURNAL OF APPLIED STATISTICS, 2019, 32 (04) : 561 - 572
  • [34] Change-points via wavelets for indirect data
    Wang, YZ
    STATISTICA SINICA, 1999, 9 (01) : 103 - 117
  • [35] Multiple change-points detection in high dimension
    Wang, Yunlong
    Zou, Changliang
    Wang, Zhaojun
    Yin, Guosheng
    RANDOM MATRICES-THEORY AND APPLICATIONS, 2019, 8 (04)
  • [36] Detection and forecast of change-points in economic development
    Hindls, R
    Hronová, S
    POLITICKA EKONOMIE, 2002, 50 (02) : 217 - 227
  • [37] Survival analysis with change-points in covariate effects
    Lee, Chun Yin
    Lam, K. F.
    STATISTICAL METHODS IN MEDICAL RESEARCH, 2020, 29 (11) : 3235 - 3248
  • [38] A Simulation Approach for Change-Points on Phylogenetic Trees
    Persing, Adam
    Jasra, Ajay
    Beskos, Alexandros
    Balding, David
    De Iorio, Maria
    JOURNAL OF COMPUTATIONAL BIOLOGY, 2015, 22 (01) : 10 - 24
  • [39] CHANGE-POINTS IN NONPARAMETRIC REGRESSION-ANALYSIS
    MULLER, HG
    ANNALS OF STATISTICS, 1992, 20 (02): : 737 - 761
  • [40] DETECTING CHANGE-POINTS AND MONITORING BIOMEDICAL DATA
    ZHANG, HP
    COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 1995, 24 (05) : 1307 - 1324
12345