A self-normalization test for a change-point in the shape parameter of a gamma distributed sequence |
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| Authors: | Changchun Tan Cuiling Dong Baiqi Miao Yuehua Wu |
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| Affiliation: | 1. School of Mathematics, Hefei University of Technology, Heifei, Anhui, 230009, PR China;2. Department of Statistics and Finance, University of Science and Technology of China, Hefei, Anhui, 230026, PR China;3. Department of Mathematics and Statistics, York University, Toronto, Ontario, Canada M3J 1P3 |
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| Abstract: | In this paper, a parametric change-point problem encountered in analyzing a gamma distributed sequence is considered. We propose a self-normalization based CUSUM type test statistic to detect the presence of a change-point, and obtain its limiting null distribution. The CUSUM-based procedure for detecting the location of this change-point is also given. At the same time, simulation results are provided, which show that our procedures are effective. |
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