Journal of the Korean Data and Information Science Society

한국데이터정보과학회 (The Korean Data and Information Science Society)
권호 표지

Tests for Mean Change with the Modified Cusum Statistics

  • 발행 : 2003.05.31
PDF 다운로드
⟨ 이전 논문 다음 논문 ⟩

초록

We deal with the problem of testing a sequence of independent normal random variables with constant, known or unknown, variance for no change in mean versus alternatives with a single change-point. Various tests based on the likelihood ratio and recursive residuals, score statistics and cusums are studied. Proposed tests are modified version of Buckley's cusum statistics. A comparison study of various change-point test statistics is done by Monte Carlo simulation with S-plus software.

키워드

참고문헌

  1. J.R. Statist. Soc. B v.37 Techniques for testing constancy of regression relationships over time Brown, R.L.;Durbin, J.;Evans, J. M.
  2. Biometrika v.78 no.2 Detecting a smooth signal: Optimality of cusum based procedures Buckley, M. J.
  3. Annals of Mathematical Statistics v.35 Estimating the current mean of a normal distribution which is subjected to changes in time Chernoff, H.;Zacker, S.
  4. Annals of Mathematical Statistics v.40 no.1 On detecting changes in the mean of normal variates Gardner, L. A.
  5. Biometrika v.77 no.2 Asymptotic distributions of maximum likelihood tests for change in the mean Gombay, E.
  6. Journal of the American Statistical Association v.72 Testing a sequence of observations for a shift in location Hawkins, D. M.
  7. Biometrika v.74 no.1 Tests for a cange-point James, B.;James, K. L.;Siegmund, D.
  8. Applied Statistis v.28 A nonparametric approach to the change problem Pettitt, A. N.
  9. Biometrika v.67 no.1 A simple cumulative sum type statistic for the change-point problem with zero-one observations Pettitt, A. N.
  10. The Annals of Statistics v.3 no.1 On tests for detecting change in mean Sen, A.;Srivastava, M. S.
  11. 덕성여자대학교 석사논문 점수함수를 이용한 비모수적 변화점 추정 서현주
  12. 덕성여자대학교 석사논문 위치모수의 변화가 있는 경우 비모수적 변화점 정통계량에 관한 연구 장희윤