کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
10524909 957845 2013 16 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Darling-Erdős limit results for change-point detection in panel data
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Darling-Erdős limit results for change-point detection in panel data
چکیده انگلیسی
We wish to test the null hypothesis if the means of N panels remain the same during the observation period of length T. A quasi-likelihood argument leads to self-normalized statistics whose limit distribution under the null hypothesis is double exponential. The main results are derived assuming that the each panel is based on independent observations and then extended to linear processes. The proofs are based on an approximation of the sum of squared CUSUM processes using the Skorokhod embedding scheme. A simulation study illustrates that our results can be used in case of small and moderate N and T. We apply our results to detect change in the “corruption index”.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Statistical Planning and Inference - Volume 143, Issue 5, May 2013, Pages 955-970
نویسندگان
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