A Test Procedure for Change in Level Occurring at Unknown Points

  • Lee, Jae-Chang (Department of Statistics, Korea University, Seoul) ;
  • Song, Il-Seong (Department of Statistics, Sungshin Women's University, Seoul)
  • 발행 : 1989.06.01

초록

A procedure is considered to the problem of testing whether there exist changes in location at possibly two points in a sequence of independent random variables which are successively drawn from normal population. A test statistics based on modified likelihood ratio is proposed and its asymptotic null distribution is derived through the stochastic process representation. A small sample power comparison is made by Monte Carlo method.

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