The limit distributions of likelihood ratio and cumulative sum tests for a change in a binomial probability

We obtain limit theorems for likelihood ratio and cumulative sums tests. In the case of the likelihood ratio the centralising and normalising sequences go to infinity and the limit is the Gumbel (double exponential) distribution. The first and the last few observations determine the limit, which also explains why the likelihood ratio test is very powerful on the tails.

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Year of publication:	1989
Authors:	Horváth, Lajos
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 31.1989, 1, p. 148-159
Publisher:	Elsevier
Keywords:	changepoint likelihood ratio test partial sums Brownian bridge extreme value distribution

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

Persistent link: https://www.econbiz.de/10005221755