An Adaptive Test for Change in Level at an Unknown Time Point

• 발행기관: 한국자료분석학회
• 저자명: Il Seong Song
• 간행물 정보: 『Journal of The Korean Data Analysis Society (JKDAS)』Vol.4 No.1, 1~8쪽, 전체 8쪽
• 주제분류: 자연과학 > 통계학
• 파일형태: PDF
• 발행일자: 2002.03.30

영문 초록

We consider the problem of testing whether there exists a change in level at an unknown time point when a fixed number of observations are drawn successively in time. An adaptive two-stage procedure is proposed for this testing problem. The first stage is based on order statistics and the second stage is based on rank test statistics. The empirical powers of the adaptive test are compared with some rank tests through Monte Carlo simulation. The results show that the adaptive test is suitable over a wide class of underlying distributions.

목차

1. Introduction

2. A Class of Rank Tests and Asymptotic Properties

3. Adaptive Selection Rule

4. Simulation Experiments on the Procedure

5. Discussion

References