Nonparametric statistical procedures for the changepoint problem

Douglas A. Wolfe; Edna Schechtman

doi:10.1016/0378-3758(84)90013-2

Nonparametric statistical procedures for the changepoint problem

Douglas A. Wolfe, Edna Schechtman

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

76 Scopus citations

Abstract

Let X₁,...,X_r-1,X_r,X_r+1,...,X_n be independent, continuous random variables such that X_i, i = 1,...,r, has distribution function F(x), and X_i, i = r+1,...,n, has distribution function F(x-Δ), with -∞ <Δ< ∞. When the integer r is unknown, this is refered to as a change point problem with at most one change. The unknown parameter Δ represents the magnitude of the change and r is called the changepoint. In this paper we present a general review discussion of several nonparametric approaches for making inferences about r and Δ.

Original language	English
Pages (from-to)	389-396
Number of pages	8
Journal	Journal of Statistical Planning and Inference
Volume	9
Issue number	3
DOIs	https://doi.org/10.1016/0378-3758(84)90013-2
State	Published - 1 Jan 1984
Externally published	Yes

Keywords

At most one changepoint
Mann-Whitney statistics
Monte Carlo study

ASJC Scopus subject areas

Statistics and Probability
Statistics, Probability and Uncertainty
Applied Mathematics

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10.1016/0378-3758(84)90013-2

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abstract = "Let X1,...,Xr-1,Xr,Xr+1,...,Xn be independent, continuous random variables such that Xi, i = 1,...,r, has distribution function F(x), and Xi, i = r+1,...,n, has distribution function F(x-Δ), with -∞ <Δ< ∞. When the integer r is unknown, this is refered to as a change point problem with at most one change. The unknown parameter Δ represents the magnitude of the change and r is called the changepoint. In this paper we present a general review discussion of several nonparametric approaches for making inferences about r and Δ.",

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T1 - Nonparametric statistical procedures for the changepoint problem

AU - Wolfe, Douglas A.

AU - Schechtman, Edna

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N2 - Let X1,...,Xr-1,Xr,Xr+1,...,Xn be independent, continuous random variables such that Xi, i = 1,...,r, has distribution function F(x), and Xi, i = r+1,...,n, has distribution function F(x-Δ), with -∞ <Δ< ∞. When the integer r is unknown, this is refered to as a change point problem with at most one change. The unknown parameter Δ represents the magnitude of the change and r is called the changepoint. In this paper we present a general review discussion of several nonparametric approaches for making inferences about r and Δ.

AB - Let X1,...,Xr-1,Xr,Xr+1,...,Xn be independent, continuous random variables such that Xi, i = 1,...,r, has distribution function F(x), and Xi, i = r+1,...,n, has distribution function F(x-Δ), with -∞ <Δ< ∞. When the integer r is unknown, this is refered to as a change point problem with at most one change. The unknown parameter Δ represents the magnitude of the change and r is called the changepoint. In this paper we present a general review discussion of several nonparametric approaches for making inferences about r and Δ.

KW - At most one changepoint

KW - Mann-Whitney statistics

KW - Monte Carlo study

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DO - 10.1016/0378-3758(84)90013-2

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VL - 9

SP - 389

EP - 396

JO - Journal of Statistical Planning and Inference

JF - Journal of Statistical Planning and Inference

IS - 3

ER -

Nonparametric statistical procedures for the changepoint problem

Abstract

Keywords

ASJC Scopus subject areas

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