ϕ-Divergence Based Procedure for Parametric Change-Point Problems

Simple item page
dc.contributor.authorBatsidis, Apostolos
dc.contributor.authorMartin, N.
dc.contributor.authorPardo Llorente, Leandro
dc.contributor.authorZografos, K.
dc.date.accessioned2023-06-18T06:53:04Z
dc.date.available2023-06-18T06:53:04Z
dc.date.issued2016
dc.description.abstractThis paper studies the change-point problem for a general parametric, univariate or multivariate family of distributions. An information theoretic procedure is developed which is based on general divergence measures for testing the hypothesis of the existence of a change. For comparing the exact sizes of the new test-statistic using the criterion proposed in Dale (J R Stat Soc B 48–59, 1986), a simulation study is performed for the special case of exponentially distributed random variables. A complete study of powers of the test-statistics and their corresponding relative local efficiencies, is also considered.
dc.description.departmentDepto. de Estadística e Investigación Operativa
dc.description.facultyFac. de Ciencias Matemáticas
dc.description.refereedTRUE
dc.description.statuspub
dc.eprint.idhttps://eprints.ucm.es/id/eprint/37762
dc.identifier.doi10.1007/s11009-014-9398-3
dc.identifier.issn1387-5841
dc.identifier.officialurlhttp://link.springer.com/article/10.1007%2Fs11009-014-9398-3
dc.identifier.relatedurlhttp://link.springer.com/
dc.identifier.urihttps://hdl.handle.net/20.500.14352/24491
dc.issue.number1
dc.journal.titleMethodology and computing in applied probability
dc.language.isoeng
dc.page.final35
dc.page.initial21
dc.publisherSpringer
dc.rights.accessRightsrestricted access
dc.subject.cdu519.22
dc.subject.keywordChange-point
dc.subject.keywordInformation criterion
dc.subject.keywordDivergence
dc.subject.keywordWald test-statistic
dc.subject.keywordGeneral distributions
dc.subject.ucmEstadística matemática (Matemáticas)
dc.subject.unesco1209 Estadística
dc.titleϕ-Divergence Based Procedure for Parametric Change-Point Problems
dc.typejournal article
dc.volume.number18
dspace.entity.typePublication
relation.isAuthorOfPublicationa6409cba-03ce-4c3b-af08-e673b7b2bf58
relation.isAuthorOfPublication.latestForDiscoverya6409cba-03ce-4c3b-af08-e673b7b2bf58
Download
Original bundle
Now showing 1 - 1 of 1
No Thumbnail Available
Name:
PardoLlorente106.pdf
Size:
616.64 KB
Format:
Adobe Portable Document Format
Download
Collections
Artículos