Confidence Sets in Change-Point Problems. Revision.
STANFORD UNIV CA DEPT OF STATISTICS
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Several methods are discussed for confidence set estimation of a change-point in a sequence of independent observations from completely specified distribution. The method based on the likelihood ratio statistic is extended to the case of independent observations from an exponential family. Joint confidence sets for the change-point and the parameters of the exponential family are also considered. Keywords Change-point, Likelihood ratio, Boundary crossing probabilities Random variable.
- Statistics and Probability