An application of the maximum likelihood test to the change-point problem

A maximum-likelihood-type statistic is derived for testing a sequence of observations for no change in the parameter against a possible change. We prove that the limit distribution of the suitably normalized and centralized statistic is double exponential under the null hypothesis.

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Year of publication:	1994
Authors:	Gombay, Edit ; Horváth, Lajos
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 50.1994, 1, p. 161-171
Publisher:	Elsevier
Keywords:	maximum likelihood parameter estimation standardized partial sums limit theorem double exponential distribution

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875211