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Detection of transient change in mean – a linear behavior inside epidemic interval

Daniela Jarušková (2011)

Kybernetika

A procedure for testing occurrance of a transient change in mean of a sequence is suggested where inside an epidemic interval the mean is a linear function of time points. Asymptotic behavior of considered trimmed maximum-type test statistics is presented. Approximate critical values are obtained using an approximation of exceedance probabilities over a high level by Gaussian fields with a locally stationary structure.

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