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WEIGHTED TESTS FOR A CHANGE IN THE REGRESSION SLOPE

2000
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Statistics & Risk Modeling
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For a given data set it may be required to discover if a change has been occurred. This is can be conducted using change-point analysis. Let X 1 , X 2 , ...,X n be independent randomvariab les with respective continuous distribution functions F 1 , F 2 , ..., F n such that F i (0)=0 for all i.We consider the problem of testing the null hypothesis that F 1 = F 2 = ...= F n against the alternative of r-changes in the distribution functions of this sequence at unknown times 1<[nτ 1 ]<[nτ 2 ]< ....

doi:10.1524/strm.2000.18.1.79
fatcat:j3epxkz2wrhevmyujx4esifyzi