Transformations of Gaussian random fields to Brownian sheet and nonparametric change-point tests

It is shown that three important Gaussian random fields arising in statistics can be transformed to Brownian sheet. The Kiefer process, the tied-down Brownian sheet, and the 4-sided tied-down Brownian sheet are treated in this fashion. An application to change-point analysis is developed.

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Year of publication:	1996
Authors:	McKeague, Ian W. ; Sun, Yanqing
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 28.1996, 4, p. 311-319
Publisher:	Elsevier
Keywords:	Innovation martingale Kiefer process Tied-down Brownian sheet Change in distribution Kolmogorov-Smimov statistics

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

Persistent link: https://www.econbiz.de/10005223610