On the asymptotic behavior of a class of nonparametric tests for a change-point problem

A class of linear rank statistics is considered for testing a sequence of independent random variables with common distribution against alternatives involving a change in distribution at an unknown time point. It is shown that, under the null hypothesis and suitably normalized, this class of statistics converges in distribution to the double exponential extreme value distribution.

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Year of publication:	1990
Authors:	Yao, Yi-Ching
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 9.1990, 2, p. 173-177
Publisher:	Elsevier
Keywords:	Double exponential distribution linear rank statistic extreme value change-point

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

Persistent link: https://www.econbiz.de/10005138014