Sign tests for change under alternatives
Authors:
Edit Gombay a;
Xiongsheng Jin a
| Affiliation: | a Department of Mathematical Sciences, University of Alberta Edmonton, Alberta, Canada |
DOI:
10.1080/10485259908832768
Publication Frequency:
8 issues per year
Subjects:
Mathematical Economics;
Mathematical Finance;
Medical Statistics;
Statistical Theory & Methods;
Statistics;
Statistics for the Biological Sciences;
Stochastic Models & Processes;
Formats available:
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Abstract
Sign statistics are used for change-point detection. We consider the so-called “epidemic” alternative, which is a generalization of the at-most-one-change alternative. Asymptotic and exact finite sample distributions under the null hypothesis of no change have been derived in Gombay (1994). We now provide the tables. Furthermore, asymptotics for the test statistics and the properties of the change-point estimators are investigated under the alternative hypotheses. The properly normalized versions of the test statistics are asymptotically normally distributed or functions of normal random variables.
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| Keywords: Change-point problem; sign statistics; simple random walk; epidemic alternative; asymptotic distribution |
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