Likelihood procedure for testing change point hypothesis for multivariate Gaussian model

Jie Chen, A. K. Gupta

Research output: Contribution to journalArticle

16 Scopus citations

Abstract

In this paper, asymptotic distribution of a likelihood procedure for testing the change point hypothesis under multivariate Gaussian model has been derived. The corresponding distribution for the Schwarz information criterion has also been obtained.

Original languageEnglish (US)
Pages (from-to)235-244
Number of pages10
JournalRandom Operators and Stochastic Equations
Volume3
Issue number3
DOIs
Publication statusPublished - Jan 1 1995
Externally publishedYes

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ASJC Scopus subject areas

  • Analysis
  • Statistics and Probability

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