Sign tests for change under alternatives.pdf

Sign tests for change under alternatives

Title:Inference for Change-Point and Post-Change Mean with Possible Change in VarianceAuthors:Yanhong Wu1 ywu@pacific.eduSource:Sequential Analysis; Aug2005, Vol. 24 Issue 3, p279-302, 24p, 2 chartsDocument Type:ArticleSubject Terms:*MATHEMATICS
*ESTIMATION theory
*LEAST squares
*MATHEMATICAL statistics
*STOCHASTIC processesAuthor-Supplied Keywords:Biased estimation
Change-point problem
Corrected confidence interval
CUSUM procedure
Random walk theory
Renewal theoremAbstract:For a sequence of independent normal random variables, we consider the estimation of the change-point and the post-change mean after a change in the mean is detected by a CUSUM procedure, subject to a possible change in variance. Conditional on the event that a change is detected and it occurred far away from the starting point and the threshold is large, the (absolute) bias of the maximum likelihood estimator for the change-point (obtained at the reference value) is found. The first-order biases for the post-change mean and variance estimators are also obtained by using Wald's Likelihood Ratio Identity and the renewal theorem. In the local case when the reference value and the post-change mean are both small, accurate approximations are derived. A confidence interval for post-change mean based on a corrected normal pivot is then discussed. [ABSTRACT FROM AUTHOR]

楼主是要这个吧？
评个分就好了，谢谢！

LZ不厚道。还把要寻找的论文题目改了。你不会另发一帖找这个文章吗？