Proceedings of the Korean Statistical Society Conference (한국통계학회:학술대회논문집)
- 2003.05a
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- Pages.287-293
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- 2003
Test for Parameter Change based on the Estimator Minimizing Density-based Divergence Measures
- Na, Ok-Young (Department of Statistics, Seoul National University) ;
- Lee, Sang-Yeol (Department of Statistics, Seoul National University) ;
- Park, Si-Yun (Marketing Consulting Team, SK Corporation)
- Published : 2003.05.23
Abstract
In this paper we consider the problem of parameter change based on the cusum test proposed by Lee et al. (2003). The cusum test statistic is constructed utilizing the estimator minimizing density-based divergence measures. It is shown that under regularity conditions, the test statistic has the limiting distribution of the sup of standard Brownian bridge. Simulation results demonstrate that the cusum test is robust when there arc outliers.
Keywords