A bivariate test for the detection of a systematic change in mean
Let (xi, yi), i = 1, …, n, be a sequence of observations such that yi= bi+ cxi+ ui, where biand c are unknown parameters, and {ui) and {xi) are independent sequences of independent, identically distributed random variables. The likelihood ratio test is derived for the hypothesis that bi= b (i = 1, …...
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1978
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| Acceso en línea: | https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_01621459_v73_n363_p640_Maronna http://hdl.handle.net/20.500.12110/paper_01621459_v73_n363_p640_Maronna |
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paper:paper_01621459_v73_n363_p640_Maronna2023-06-08T15:13:39Z A bivariate test for the detection of a systematic change in mean Bivariate slippage Change in mean Monte Carlo method Slippage Test consistency Let (xi, yi), i = 1, …, n, be a sequence of observations such that yi= bi+ cxi+ ui, where biand c are unknown parameters, and {ui) and {xi) are independent sequences of independent, identically distributed random variables. The likelihood ratio test is derived for the hypothesis that bi= b (i = 1, …, n), against the alternative that bi= b (i ≤ i0) and bi= b + d (i > i0) for some b, i0, and d ≠ 0, assuming the ui’s are normal. Quantiles of the test statistic are computed by simulation, and the consistency of the test is proved. Some asymptotic properties of the test statistic are shown. © 1978, Taylor & Francis Group, LLC. 1978 https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_01621459_v73_n363_p640_Maronna http://hdl.handle.net/20.500.12110/paper_01621459_v73_n363_p640_Maronna |
| institution |
Universidad de Buenos Aires |
| institution_str |
I-28 |
| repository_str |
R-134 |
| collection |
Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA) |
| topic |
Bivariate slippage Change in mean Monte Carlo method Slippage Test consistency |
| spellingShingle |
Bivariate slippage Change in mean Monte Carlo method Slippage Test consistency A bivariate test for the detection of a systematic change in mean |
| topic_facet |
Bivariate slippage Change in mean Monte Carlo method Slippage Test consistency |
| description |
Let (xi, yi), i = 1, …, n, be a sequence of observations such that yi= bi+ cxi+ ui, where biand c are unknown parameters, and {ui) and {xi) are independent sequences of independent, identically distributed random variables. The likelihood ratio test is derived for the hypothesis that bi= b (i = 1, …, n), against the alternative that bi= b (i ≤ i0) and bi= b + d (i > i0) for some b, i0, and d ≠ 0, assuming the ui’s are normal. Quantiles of the test statistic are computed by simulation, and the consistency of the test is proved. Some asymptotic properties of the test statistic are shown. © 1978, Taylor & Francis Group, LLC. |
| title |
A bivariate test for the detection of a systematic change in mean |
| title_short |
A bivariate test for the detection of a systematic change in mean |
| title_full |
A bivariate test for the detection of a systematic change in mean |
| title_fullStr |
A bivariate test for the detection of a systematic change in mean |
| title_full_unstemmed |
A bivariate test for the detection of a systematic change in mean |
| title_sort |
bivariate test for the detection of a systematic change in mean |
| publishDate |
1978 |
| url |
https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_01621459_v73_n363_p640_Maronna http://hdl.handle.net/20.500.12110/paper_01621459_v73_n363_p640_Maronna |
| _version_ |
1768543364427284480 |