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Test and Estimation for Exponential Mean Change
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 Title & Authors
Test and Estimation for Exponential Mean Change
Kim, Jae-Hee;
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This paper deals with the problem of testing for the existence of change in mean and estimating the change-point when the data are from the exponential distributions. The likelihood ratio test statistic and Gombay and Horvath (1990) test statistic are compared in a power study when there exists one change-point in the exponential means. Also the change-point estimator using the likelihood ratio and the change-point estimators based on Gombay and Horvath (1990) statistic are compared for their detecting capability via simulation.
Change-point;likelihood ratio;mean change;Ornstein-Uhlenbeck process;quantile process;
 Cited by
Chen, J. and Gupta, A. K. (2000). Parametric Statistical Change Point Analysis, BirkhAauser, Boston

Gombay, E. and Horvath, L. (1990). Asymptotic distributions of maximum likelihood tests for change in the mean, Biometrika, 77, 411-414 crossref(new window)

Ramanayake, A. and Gupta, A. K. (2003). Tests for an epidemic change in a sequence of exponentially distributed random variables, Biometirical Journal, 45, 946-958 crossref(new window)

Zou, C., Liu, Y., Qin, P. and Wang, Z. (2007). Empirical likelihood ratio test for the change-point problem, Statistics & Probability Letters, 77, 374-382 crossref(new window)