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On the Rate of Approximations for Maximum Likelihood Tests in Change-Point Models

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  • Gombay, Edit
  • Horváth, Lajos

Abstract

We study the asymptotics of maximum-likelihood ratio-type statistics for testing a sequence of observations for no change in parameters against a possible change while some nuisance parameters remain constant over time. We obtain extreme value as well as Gaussian-type approximations for the likelihood ratio. We get necessary and sufficient conditions for the weak convergence of supremum andLp-functionals of the likelihood ration process. We also approximate the maximum likelihood ratio with Ornstein-Uhlenbeck processes and obtain bounds for the rate of approximation. We show that the Ornstein-Uhlenbeck approach is superior to the extreme value limit in case of moderate sample sizes.

Suggested Citation

  • Gombay, Edit & Horváth, Lajos, 1996. "On the Rate of Approximations for Maximum Likelihood Tests in Change-Point Models," Journal of Multivariate Analysis, Elsevier, vol. 56(1), pages 120-152, January.
    • Handle: RePEc:eee:jmvana:v:56:y:1996:i:1:p:120-152
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    Citations

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    Cited by:

    1. D. Guegan & J. Zhang, 2010. "Change analysis of a dynamic copula for measuring dependence in multivariate financial data," Quantitative Finance, Taylor & Francis Journals, vol. 10(4), pages 421-430.
    2. Pouliot, William, 2016. "Robust tests for change in intercept and slope in linear regression models with application to manager performance in the mutual fund industry," Economic Modelling, Elsevier, vol. 58(C), pages 523-534.
    3. Hans Manner & Bertrand Candelon, 2010. "Testing For Asset Market Linkages: A New Approach Based On Time‐Varying Copulas," Pacific Economic Review, Wiley Blackwell, vol. 15(3), pages 364-384, August.
    4. Dominique Guegan & Jing Zhang, 2006. "Change analysis of dynamic copula for measuring dependence in multivariate financial data," Post-Print halshs-00189141, HAL.
    5. Dominique Guegan & Jing Zhang, 2010. "Change analysis of a dynamic copula for measuring dependence in multivariate financial data," Post-Print halshs-00368334, HAL.
    6. Sandip Sinharay, 2016. "Person Fit Analysis in Computerized Adaptive Testing Using Tests for a Change Point," Journal of Educational and Behavioral Statistics, , vol. 41(5), pages 521-549, October.
    7. A. Batsidis & N. Martín & L. Pardo & K. Zografos, 2016. "ϕ-Divergence Based Procedure for Parametric Change-Point Problems," Methodology and Computing in Applied Probability, Springer, vol. 18(1), pages 21-35, March.
    8. Sandip Sinharay, 2017. "Some Remarks on Applications of Tests for Detecting A Change Point to Psychometric Problems," Psychometrika, Springer;The Psychometric Society, vol. 82(4), pages 1149-1161, December.
    9. Dominique Guegan & Jing Zhang, 2010. "Change analysis of a dynamic copula for measuring dependence in multivariate financial data," PSE-Ecole d'économie de Paris (Postprint) halshs-00368334, HAL.
    10. Batsidis, A. & Horváth, L. & Martín, N. & Pardo, L. & Zografos, K., 2013. "Change-point detection in multinomial data using phi-divergence test statistics," Journal of Multivariate Analysis, Elsevier, vol. 118(C), pages 53-66.
    11. Lajos Horvath & Lorenzo Trapani, 2021. "Changepoint detection in random coefficient autoregressive models," Papers 2104.13440, arXiv.org.
    12. Lajos Horváth & Gregory Rice, 2014. "Extensions of some classical methods in change point analysis," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(2), pages 219-255, June.
    13. Antoch, Jaromír & Husková, Marie, 2001. "Permutation tests in change point analysis," Statistics & Probability Letters, Elsevier, vol. 53(1), pages 37-46, May.
    14. Leonid Torgovitski, 2015. "A Darling–Erdős-type CUSUM-procedure for functional data," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 78(1), pages 1-27, January.
    15. Lajos Horv'ath & Lorenzo Trapani, 2023. "Real-time monitoring with RCA models," Papers 2312.11710, arXiv.org.
    16. Stergios B. Fotopoulos & Alex Paparas & Venkata K. Jandhyala, 2022. "Change point detection and estimation methods under gamma series of observations," Statistical Papers, Springer, vol. 63(3), pages 723-754, June.

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