Lois asymptotiques des tests et estimateurs de rupture dans un modèle statistique classique

Jean Deshayes; Dominique Picard

Annales de l'I.H.P. Probabilités et statistiques (1984)

  • Volume: 20, Issue: 4, page 309-327
  • ISSN: 0246-0203

How to cite

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Deshayes, Jean, and Picard, Dominique. "Lois asymptotiques des tests et estimateurs de rupture dans un modèle statistique classique." Annales de l'I.H.P. Probabilités et statistiques 20.4 (1984): 309-327. <http://eudml.org/doc/77239>.

@article{Deshayes1984,
author = {Deshayes, Jean, Picard, Dominique},
journal = {Annales de l'I.H.P. Probabilités et statistiques},
keywords = {weak convergence of likelihood processes; change-point problems; tests for the existence of a change-point; maximum likelihood method; asymptotic behaviour of Bayesian estimators; invariance principle},
language = {fre},
number = {4},
pages = {309-327},
publisher = {Gauthier-Villars},
title = {Lois asymptotiques des tests et estimateurs de rupture dans un modèle statistique classique},
url = {http://eudml.org/doc/77239},
volume = {20},
year = {1984},
}

TY - JOUR
AU - Deshayes, Jean
AU - Picard, Dominique
TI - Lois asymptotiques des tests et estimateurs de rupture dans un modèle statistique classique
JO - Annales de l'I.H.P. Probabilités et statistiques
PY - 1984
PB - Gauthier-Villars
VL - 20
IS - 4
SP - 309
EP - 327
LA - fre
KW - weak convergence of likelihood processes; change-point problems; tests for the existence of a change-point; maximum likelihood method; asymptotic behaviour of Bayesian estimators; invariance principle
UR - http://eudml.org/doc/77239
ER -

References

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  1. [1] P.K. Bhattacharya, « Estimation of change-point in the distribution of independant random variables ». Preprint of the University of Arizona, 1981. 
  2. [2] P.K. Bhattacharya, P.J. Brockwell, « The minimum of an additive process with applications to signal estimation and storage theory », Zeit. Wahr. und veriv. Gebiete, t. 37, 1976, p. 51-75. Zbl0326.60053MR426166
  3. [3] Z.W. Birnbaum, A.W. Marsall, « Some multivariate Chebyshev inequalities with extensions to continuous parameter processes », A. M. S., t. 32, 1961, p. 687-703. Zbl0114.08004MR148106
  4. [4] J. Deshayes, D. Picard, « Principe d'invariance sur le processus de vraisemblance », Annales de l'I. H. P., t. 20, 1984, p. 1-20. Zbl0534.60033
  5. [5] J. Deshayes, D. Picard, « Ruptures de modèles en statistique ». Thèses d'État. Université Paris-Sud, 1983. 
  6. [6] P.I. Feder, « The log-likelihood ratio in segmented regression », Ann. Stat., t. 3, 1975, p. 84-97. Zbl0324.62015MR378268
  7. [7] D.M. Hawkins, « Testing a sequence of observations for a shift in location », J. A. S. A., t. 72, 1977, p. 180-186. Zbl0346.62027MR451496
  8. [8] D.V. Hinkley, « Inference about the change-point in a sequence of random variables », Biometrika, t. 57, 1970, p. 1-17. Zbl0198.51501MR273727
  9. [9] D.V. Hinkley, E.A. Hinkley, « Inference about the change-point in a sequence of binomial variables », Biometrika, t. 57, 1970, p. 477-488. Zbl0214.46603MR275556
  10. [10] D.V. Hinkley, P. Chapman, G. Runger, « Change-point problems », Invited conference at the 11th European Meeting of Statisticians, Brighton, 1980. 
  11. [11] I.A. Ibragimov, R.Z. Khasminkii, « Asymptotic behaviour of statistical estimators in the smooth case-I-study of the likelihood ratio ». Theory of Prob. and Applic., t. 17, 1972, p. 445-462. Zbl0273.62019
  12. [12] I.A. Ibragimov, R.Z. Khasminskii, « Statistical estimation-asymptotic theory », Springer-Verlag. Applications of Mathematics, t. 16, 1981. Zbl0467.62026MR620321
  13. [13] L. Lecam, « Limits of experiments », Proceedings of the Vlth Berkeley Symposium-I, 1972, p. 245-261. Zbl0271.62004MR415819
  14. [14] I.B. Mcneil, « Tests for change of parameter at unknown time and distributions of some related functionals on Brownian motion », Ann. Stat., t. 2, 1974, p. 950-962. Zbl0289.62059MR426253
  15. [15] R.E. Quandt, « Tests of the hypothesis that a linear system obeys two separate regimes », J. A. S. A., t. 55, 1960, p. 324-330. Zbl0095.13602MR114269
  16. [16] L.A. Shepp, « The joint density of the maximum and its location for a Wiener process with drift », J. of Appl. Prob., t. 16, 1979, 423-427. Zbl0403.60072MR531776

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