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The maximum likelihood method for testing changes in the parameters of normal observations. (English) Zbl 0778.62016

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.

MSC:

62E20 Asymptotic distribution theory in statistics
62F03 Parametric hypothesis testing
62F05 Asymptotic properties of parametric tests
60F15 Strong limit theorems
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