A conservative nonparametric distribution-free confidence bound for the shift in the changepoint problem

Edna Schechtman

doi:10.1080/03610928308828612

A conservative nonparametric distribution-free confidence bound for the shift in the changepoint problem

Edna Schechtman

Research output: Contribution to journal › Article › peer-review

5 Scopus citations

Abstract

The problem of testing whether there is a change in location in a sequence of random variables that are taken over time was discussed in several papers. In this paper we develop a conservative nonparametric distribution - free confidence bound for the amount of shift and give some Monte Carlo results to show how conservative the bound is.

Original language	English
Pages (from-to)	2455-2464
Number of pages	10
Journal	Communications in Statistics - Theory and Methods
Volume	12
Issue number	21
DOIs	https://doi.org/10.1080/03610928308828612
State	Published - 1 Jan 1983
Externally published	Yes

Keywords

Monte Carlo simulation study
change in location
confidence bound

ASJC Scopus subject areas

Statistics and Probability

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10.1080/03610928308828612

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abstract = "The problem of testing whether there is a change in location in a sequence of random variables that are taken over time was discussed in several papers. In this paper we develop a conservative nonparametric distribution - free confidence bound for the amount of shift and give some Monte Carlo results to show how conservative the bound is.",

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AB - The problem of testing whether there is a change in location in a sequence of random variables that are taken over time was discussed in several papers. In this paper we develop a conservative nonparametric distribution - free confidence bound for the amount of shift and give some Monte Carlo results to show how conservative the bound is.

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KW - confidence bound

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A conservative nonparametric distribution-free confidence bound for the shift in the changepoint problem

Abstract

Keywords

ASJC Scopus subject areas

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