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Test and Estimation for Normal Mean Change

  • Kim, Jae-Hee (Department of Statistics, Duksung Women's University) ;
  • Ryu, Jong-Eun (Division of Epidemiology and Health Index Assistant Researcher, Center for Genome Science, National Institute Health, Korea Center for Disease Control & Prevention(KCDC))
  • Published : 2006.12.31

Abstract

We consider the problem of testing the existence of change in mean and estimating the change-point when the data are from the normal distribution. A change-point estimator using the likelihood ratio test statistic, Gombay and Horvath (1990) test statistic, and nonparametric change-point estimator using Carlstein (1988) empirical distribution are studied when there exists one change-point in the mean. A power study is done to compare the change test statistics. And a comparison study of change-point estimators for estimation capability is done via simulations with S-plus software.

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