Communications for Statistical Applications and Methods

  • 제15권3호
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  • Pages.421-427
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  • 2008
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  • 2287-7843(pISSN)
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  • 2383-4757(eISSN)
한국통계학회 (The Korean Statistical Society)
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Test and Estimation for Exponential Mean Change

  • Kim, Jae-Hee (Department of Statistics, Duksung Women's University)
  • 발행 : 2008.05.30
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초록

This paper deals with the problem of testing for the existence of change in mean and estimating the change-point when the data are from the exponential distributions. The likelihood ratio test statistic and Gombay and Horvath (1990) test statistic are compared in a power study when there exists one change-point in the exponential means. Also the change-point estimator using the likelihood ratio and the change-point estimators based on Gombay and Horvath (1990) statistic are compared for their detecting capability via simulation.

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참고문헌

  1. Chen, J. and Gupta, A. K. (2000). Parametric Statistical Change Point Analysis, BirkhAauser, Boston
  2. Gombay, E. and Horvath, L. (1990). Asymptotic distributions of maximum likelihood tests for change in the mean, Biometrika, 77, 411-414 https://doi.org/10.1093/biomet/77.2.411
  3. Ramanayake, A. and Gupta, A. K. (2003). Tests for an epidemic change in a sequence of exponentially distributed random variables, Biometirical Journal, 45, 946-958 https://doi.org/10.1002/bimj.200390062
  4. Zou, C., Liu, Y., Qin, P. and Wang, Z. (2007). Empirical likelihood ratio test for the change-point problem, Statistics & Probability Letters, 77, 374-382 https://doi.org/10.1016/j.spl.2006.08.003