Rank based estimators of the change-point

✍ Scribed by Edit Gombay; Marie Hušková

• Publisher: Elsevier Science
• Year: 1998
• Tongue: English
• Weight: 610 KB
• Volume: 67
• Category: Article
• ISSN: 0378-3758
• DOI: 10.1016/s0378-3758(97)00099-2

✦ Synopsis

Consider a sequence of independent random variables XI ..... X, having continuous distribution function F for 1 ~< i ~< m (<n) and a different continuous distribution function G for m <i ~< n, where m is unknown and called the change-point. We propose two classes of estimators of the change-point m based on ranks and investigate their limit properties. The proofs rely on exchangeability of ranks which then allows the use of Hfijek's (1961) results on the asymptotic behavior of simple linear rank statistics.