Accession Number:

ADA169606

Title:

Conditional Boundary Crossing Probabilities with Applications to Change-Point Problems.

Descriptive Note:

Technical rept.,

Corporate Author:

STANFORD UNIV CA DEPT OF STATISTICS

Report Date:

1986-06-01

Pagination or Media Count:

21.0

Abstract:

For normal random walks S sub 1, S sub 2, ..., formed from independent, identically distributed random variables X sub 1, X sub 2, ..., we determine the asymptotic behavior under regularity conditions of PS sdub n mgnm for some n m sub m mxi, m lambda0, xi g 1, where U sub m X sub one to the 2nd power ... X sub m to the 2nd power. The result is applied to a normal change-point problem to approximate null distributions of test statistics and to obtain approximate confidence sets for the change-point.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE