Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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Power Comparison between Methods of Empirical Process and a Kernel Density Estimator for the Test of Distribution Change

분포변화 검정에서 경험확률과정과 커널밀도함수추정량의 검정력 비교

  • Na, Seong-Ryong (Department of Information and Statistics, Yonsei University) ;
  • Park, Hyeon-Ah (Department of Statistics, Seoul National University)
  • Received : 20101200
  • Accepted : 20110100
  • Published : 2011.03.31
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Abstract

There are two nonparametric methods that use empirical distribution functions and probability density estimators for the test of the distribution change of data. In this paper we investigate the two methods precisely and summarize the results of previous research. We assume several probability models to make a simulation study of the change point analysis and to examine the finite sample behavior of the two methods. Empirical powers are compared to verify which is better for each model.

자료의 분포변화를 검정하는 비모수적 방법으로 경험분포함수를 이용하거나 확률밀도함수 추정량을 이용하는 두 가지 방법을 고려할 수 있다. 이 논문에서는 분포변화 검정을 위한 두가지 방법을 자세히 살펴보고 기존 연구의 결과를 정리한다. 여러 확률모형을 가정하고 분포변화 검정에 대한 모의 실험을 실시하여 두 방법에 대한 이론적 극한 성질이잘 성립하는가를 살펴본다. 검정력 비교를 통하여 모형에 따른 적절한 변화점 분석 방법을 알아본다.

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References

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