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Semiparametric tests for change-points with epidemic alternatives
Authors:Zhong Guan
Institution:Department of Mathematical Sciences, Indiana University South Bend, 1700 Mishawaka Avenue, P.O. Box 7111 South Bend, IN 46634-7111, USA
Abstract:The empirical likelihood ratio-based semiparametric tests of change-points with epidemic alternatives are constructed and are proved to have the same limiting null distributions as some well-known tests. The maximum empirical likelihood estimates of the change-points and the epidemic duration are shown to be consistent. Data-based model tests are also provided. The method is applied to a stock market price data and the Nile river data.
Keywords:62G10  62P10
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