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Inference about the change-point in a sequence of random variables
Abstract
Inference is considered about the point in a sequence of random variables at which the probability distribution changes. In particular, we examine a normal distribution with changing mean. The asymptotic distribution of the maximum likelihood estimate is derived and also the asymptotic distribution of the likelihood ratio statistic for testing hypotheses about the change-point. These asymptotic distributions are compared with some finite sample empirical distributions.
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Citations
Cited by
Tests for parameter instability and structural change with unknown change point.
Andrews, D. W. K. (1993) · Econometrica · doi:10.2307/2951764 · Cited by 4,334
Detection of Abrupt Changes: Theory and Application
Riedel, K. S. (1994) · Technometrics · doi:10.1080/00401706.1994.10485821 · Cited by 3,518
changepoint : An R Package for Changepoint Analysis
Killick, R., & Eckley, I. A. (2014) · Journal of Statistical Software · doi:10.18637/jss.v058.i03 · Cited by 1,330
Sequential Changepoint Detection in Quality Control and Dynamical Systems
Lai, T. L. (1995) · Journal of the Royal Statistical Society Series B: Statistical Methodology · doi:10.1111/j.2517-6161.1995.tb02052.x · Cited by 580
Regression and ordered categorical variables
Anderson, J. A. (1984) · Journal of the Royal Statistical Society Series B: Statistical Methodology · doi:10.1111/j.2517-6161.1984.tb01270.x · Cited by 574
Metadata
- Authors
- Hinkley, D. V.
- Venue
- Biometrika
- Publisher
- Oxford University Press (OUP)
- Published
- 1970-04-01
- Volume
- 57
- Issue
- 1
- Pages
- 1-17
- ISSN
- 0006-3444 (ISSN-L)
- 1464-3510
- OpenAlex
- W2057797785
- Cited by
- 830
- References
- 0
- FWCI
- 6.78
- Type
- journal article
- Language
- en
- Open access
- closed
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- Hinkley, D. V. (1970). Inference about the change-point in a sequence of random variables. Biometrika. https://doi.org/10.1093/biomet/57.1.1
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