Detecting change point for a sequence of random vectors under nonnormality

Jie Chen, A. K. Gupta

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

In this paper, a sequence of independent m-dimensional random vectors is investigated for a change point in the mean vectors and covariance matrices. The likelihood procedure statistic is obtained, and its asymptotic null distribution under nonnormality is derived.

Original languageEnglish (US)
Pages (from-to)127-142
Number of pages16
JournalRandom Operators and Stochastic Equations
Volume8
Issue number2
StatePublished - Jan 1 2000
Externally publishedYes

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Non-normality
Null Distribution
Change Point
Random Vector
Asymptotic distribution
Covariance matrix
Statistic
Likelihood

ASJC Scopus subject areas

  • Analysis
  • Statistics and Probability

Cite this

Detecting change point for a sequence of random vectors under nonnormality. / Chen, Jie; Gupta, A. K.

In: Random Operators and Stochastic Equations, Vol. 8, No. 2, 01.01.2000, p. 127-142.

Research output: Contribution to journalArticle

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