Horváth, Lajos The maximum likelihood method for testing changes in the parameters of normal observations. (English) Zbl 0778.62016 Ann. Stat. 21, No. 2, 671-680 (1993). Summary: We compute the asymptotic distribution of the maximum likelihood ratio test when we want to check whether the parameters of normal observations have changed at an unknown point. The proof is based on the limit distribution of the largest deviation between a \(d\)-dimensional Ornstein- Uhlenbeck process and the origin. Cited in 5 ReviewsCited in 62 Documents MSC: 62E20 Asymptotic distribution theory in statistics 62F03 Parametric hypothesis testing 62F05 Asymptotic properties of parametric tests 60F15 Strong limit theorems Keywords:normal observations; \(d\)-dimensional Ornstein-Uhlenbeck process; Darling- Erdős-type limit theorems; strong approximation; change-point problem; maximum likelihood ratio test; limit distribution; largest deviation × Cite Format Result Cite Review PDF Full Text: DOI