• Communications for Statistical Applications and Methods
• /
• v.8 no.2
• /
• pp.473-481
• /
• 2001

Shapiro and Wilk (1972) developed a test for exponentiality with origin and scale unknown. The procedure consists of comparing the generalized least squares estimate of scale with the estimate of scale given by the sample variance. However the test statistic is inconsistent. Kim(2001) proposed a modified Shapiro-Wilk's test statistic based on the ratio of tow asymptotically efficient estimates of scale. In this paper, we study the asymptotic behavior of the statistic using the approximation of the quantile process by a sequence of Brownian bridges and represent the limit null distribution as an integral of a Brownian bridge.

• Journal of the Korean Mathematical Society
• /
• v.52 no.3
• /
• pp.503-522
• /
• 2015

In this paper, we consider the problem of testing for a parameter change in nonlinear time series models with GARCH type errors. We introduce two types of cumulative sum (CUSUM) tests: estimates-based and residual-based tests. It is shown that under regularity conditions, their limiting null distributions are the sup of independent Brownian bridges. A simulation study is conducted for illustration.

• Proceedings of the Korean Statistical Society Conference
• /
• 2000.11a
• /
• pp.141-146
• /
• 2000

Shapiro와 Wilk(1972)는 위치모수와 척도모수가 미지인 경우 지수분포의 검정통계량을 제안하였다. 그것은 척도모수의 일반화 최소제곱추정량과 표본분산의 비로 구성되었다. 그러나 이 검정통계량은 일치성을 갖지 않는다. 본 논문에서는 척도모수의 두개의 점근유효추정량으로 구성된 통계량을 고려하고 이의 극한분포를 구하였다. 또한 두 개의 통계량의 검정력을 비교한 결과 제안된 통계량이 변동계수가 1보다 크거나 같은 분포에서 더 좋은 검정력을 가짐을 볼 수 있었다.