Log-likelihood ratio test for detecting transient change

The limit behaviour of scan statistics in a form of maxima of moving sum processes with changing window size for detecting a transient change is studied. Approximate critical values obtained from tail behaviour of the limit variables that are maxima of some locally homogeneous Gaussian fields are compared with critical values obtained by simulation.

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Year of publication:	2011
Authors:	Jarusková, Daniela ; Piterbarg, Vladimir I.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 81.2011, 5, p. 552-559
Publisher:	Elsevier
Keywords:	Change point detection Scan statistics Asymptotics Maxima of locally homogeneous Gaussian fields

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

Persistent link: https://www.econbiz.de/10008868831