Changepoint problems and contiguous alternatives

We consider U-statistic type processes which can be used for detecting a changepoint in a random sequence. The asymptotic results when all random variables are assumed to have the same distribution are already known. We derive the limiting distribution of such processes under contiguous alternatives.

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Year of publication:	1991
Authors:	Szyszkowicz, Barbara
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 11.1991, 4, p. 299-308
Publisher:	Elsevier
Keywords:	Changepoint problem continguity U-statistics weight functions weak convergence Wiener process Gaussian processes

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

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