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Log-likelihood ratio test for detecting transient change

Author

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  • Jarusková, Daniela
  • Piterbarg, Vladimir I.

Abstract

The limit behaviour of scan statistics in a form of maxima of moving sum processes with changing window size for detecting a transient change is studied. Approximate critical values obtained from tail behaviour of the limit variables that are maxima of some locally homogeneous Gaussian fields are compared with critical values obtained by simulation.

Suggested Citation

  • Jarusková, Daniela & Piterbarg, Vladimir I., 2011. "Log-likelihood ratio test for detecting transient change," Statistics & Probability Letters, Elsevier, vol. 81(5), pages 552-559, May.
    • Handle: RePEc:eee:stapro:v:81:y:2011:i:5:p:552-559
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    Citations

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    Cited by:

    1. Markevičiūtė, J., 2016. "Epidemic change tests for the mean of innovations of an AR(1) process," Statistics & Probability Letters, Elsevier, vol. 112(C), pages 79-91.
    2. Bucchia, Béatrice & Wendler, Martin, 2017. "Change-point detection and bootstrap for Hilbert space valued random fields," Journal of Multivariate Analysis, Elsevier, vol. 155(C), pages 344-368.
    3. Daniela Jarušková, 2015. "Detecting non-simultaneous changes in means of vectors," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 24(4), pages 681-700, December.
    4. Tan, Zhongquan & Hashorva, Enkelejd, 2013. "Exact asymptotics and limit theorems for supremum of stationary χ-processes over a random interval," Stochastic Processes and their Applications, Elsevier, vol. 123(8), pages 2983-2998.
    5. Liu, Peng & Ji, Lanpeng, 2017. "Extremes of locally stationary chi-square processes with trend," Stochastic Processes and their Applications, Elsevier, vol. 127(2), pages 497-525.
    6. Jaromír Antoch & Daniela Jarušková, 2013. "Testing for multiple change points," Computational Statistics, Springer, vol. 28(5), pages 2161-2183, October.
    7. Ji, Lanpeng & Liu, Peng & Robert, Stephan, 2019. "Tail asymptotic behavior of the supremum of a class of chi-square processes," Statistics & Probability Letters, Elsevier, vol. 154(C), pages 1-1.
    8. Aston, John A.D. & Kirch, Claudia, 2012. "Detecting and estimating changes in dependent functional data," Journal of Multivariate Analysis, Elsevier, vol. 109(C), pages 204-220.
    9. Diop, Mamadou Lamine & Kengne, William, 2022. "Epidemic change-point detection in general causal time series," Statistics & Probability Letters, Elsevier, vol. 184(C).

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