A semiparametric changepoint model

Unknown author

43 citations0/0 files storedBiometrika

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Advanced Statistical Process Monitoring Statistical Methods and Inference Bayesian Methods and Mixture Models

Abstract

A semiparametric changepoint model is considered and the empirical likelihood method is applied to detect the change from a distribution to a weighted distribution in a sequence of independent random variables. The maximum likelihood changepoint estimator is shown to be consistent. The empirical likelihood ratio test statistic is proved to have the same limit null distribution as that with parametric models. A data-based test for the validity of the models is also proposed. Simulation shows the sensitivity and robustness of the semiparametric approach. The methods are applied to some classical datasets such as the Nile River data and stock price data.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 43 citations exist upstream.

References

1997Limit theorems in change-point analysis 1997Testing and Locating Variance Changepoints with Application to Stock Prices 1978The Problem of the Nile: Conditional Solution to a Changepoint Problem 1986Confidence Regions and Tests for a Change-Point in a Sequence of Exponential Family Random Variables 1988Nonparametric Change-Point Estimation 1991The Asymptotic Behavior of Some Nonparametric Change-Point Estimators 1977Tests for Variance Shift at an Unknown Time Point 1985The cusum test of homogeneity with an application in spontaneous abortion epidemiology

Cited by

2008Empirical Likelihood Ratio Test for a Change-Point in Linear Regression Model 2015Change point detection for subprime crisis in American banking: From the perspective of risk dependence 2014Information Approach for the Change-Point Detection in the Skew Normal Distribution and Its Applications 2021Empirical Likelihood Ratio Test for the Epidemic Change Model 2014An Information-Based Approach to the Change-Point Problem of the Noncentral Skew t Distribution with Applications to Stock Market Data

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.