Tests for Change of Parameter at Unknown Times and Distributions of Some Related Functionals on Brownian Motion
The Annals of Statistics · 1974 · Volume 2 · Issue 5
Abstract
Statistics are derived for testing a sequence of observations from an exponential-type distribution for no change in parameter against possible two-sided alternatives involving parameter changes at unknown points. The test statistic can be chosen to have high power against certain of a variety of alternatives. Conditions on functionals on $C\lbrack 0,1\rbrack$ are given under which one can assert that the large sample distribution of the test statistic under the null-hypothesis or an alternative from a range of interesting hypotheses is that of a functional on Brownian Motion. We compute and tabulate distributions for functionals defined by nonnegative weight functions of the form $\psi(s) = as^k, k > -2$. The functionals for $-1 \geqq k > -2$ are not continuous in the uniform topology on $C\lbrack 0, 1\rbrack$.
Keywords
60B10, 60E05, 60G50, 60H05, 60J65, 62E15, 62E20, 62F05, Bessel functions, exponential family, functionals on Brownian motions, Krhunen-Loeve expansions, Parameter changes at unknown times, stochastic integrals, weak convergence, weight functions
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