Nonparametric statistical procedures for the changepoint problem |
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Authors: | Douglas A. Wolfe Edna Schechtman |
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Affiliation: | Department of Statistics, The Ohio State University, Columbus, OH 43210, USA;Faculty of Agriculture, Hebrew University of Jerusalem, Rehovot, Israel |
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Abstract: | Let X1,…,Xr?1,Xr,Xr+1,…,Xn be independent, continuous random variables such that Xi, i = 1,…,r, has distribution function F(x), and Xi, i = r+1,…,n, has distribution function F(x?Δ), with -∞ <Δ< ∞. When the integer r is unknown, this is refered to as a change point problem with at most one change. The unknown parameter Δ represents the magnitude of the change and r is called the changepoint. In this paper we present a general review discussion of several nonparametric approaches for making inferences about r and Δ. |
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Keywords: | Primary 62G10 Secondary 62G05 At most one changepoint Mann-Whitney statistics Monte Carlo study |
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