Journal of the Korean Statistical Society
- Volume 18 Issue 1
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- Pages.38-45
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- 1989
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- 1226-3192(pISSN)
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- 2005-2863(eISSN)
A Test Procedure for Change in Level Occurring at Unknown Points
- Lee, Jae-Chang (Department of Statistics, Korea University, Seoul) ;
- Song, Il-Seong (Department of Statistics, Sungshin Women's University, Seoul)
- Published : 1989.06.01
Abstract
A procedure is considered to the problem of testing whether there exist changes in location at possibly two points in a sequence of independent random variables which are successively drawn from normal population. A test statistics based on modified likelihood ratio is proposed and its asymptotic null distribution is derived through the stochastic process representation. A small sample power comparison is made by Monte Carlo method.
Keywords