A conservative nonparametric distribution-free confidence bound for the shift in the changepoint problem |
| |
| Authors: | Edna Schechtman |
| |
| Affiliation: | Hebrew University of Jerusalem , Rehovot, Israel |
| |
| Abstract: | The problem of testing whether there is a change in location in a sequence of random variables that are taken over time was discussed in several papers. In this paper we develop a conservative nonparametric distribution - free confidence bound for the amount of shift and give some Monte Carlo results to show how conservative the bound is. |
| |
| Keywords: | confidence bounds Monte Carlo simulation study change in location |
|
