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On empirical likelihood inference of a change-point

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  • Shen, Gang

Abstract

Trimming is necessary for the empirical likelihood inference in the change-point problem. This work studies the asymptotic behavior of the trimmed empirical likelihood ratio (ELR) statistic in its full spectrum. Our results show it is comparable with its parametric counterpart.

Suggested Citation

  • Shen, Gang, 2013. "On empirical likelihood inference of a change-point," Statistics & Probability Letters, Elsevier, vol. 83(7), pages 1662-1668.
    • Handle: RePEc:eee:stapro:v:83:y:2013:i:7:p:1662-1668
    DOI: 10.1016/j.spl.2013.03.014
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    References listed on IDEAS

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    1. Einmahl, J.H.J. & McKeague, I.W., 2002. "Empirical Likelihood based on Hypothesis Testing," Other publications TiSEM 402576fa-8c0e-45e2-a394-8, Tilburg University, School of Economics and Management.
    2. Ninomiya, Yoshiyuki, 2005. "Information criterion for Gaussian change-point model," Statistics & Probability Letters, Elsevier, vol. 72(3), pages 237-247, May.
    3. Zou, Changliang & Liu, Yukun & Qin, Peng & Wang, Zhaojun, 2007. "Empirical likelihood ratio test for the change-point problem," Statistics & Probability Letters, Elsevier, vol. 77(4), pages 374-382, February.
    4. Michael Robbins & Colin Gallagher & Robert Lund & Alexander Aue, 2011. "Mean shift testing in correlated data," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(5), pages 498-511, September.
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    Cited by:

    1. Nirian Martín & Leandro Pardo, 2014. "Comments on: 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 279-282, June.

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