Tabulating weighted sup-norm functionals used in change-point analysis

Journal of Statistical Computation and Simulation

Volumn 74, Issue 4, 2004, Pages 249-276

  Orasch, Markus ^a   Pouliot, William ^b,c  

^a Tillinghast Towers Perrin   (Germany)

^b CARLETON UNIVERSITY   (Canada)

^c NONE   (Canada)

Author keywords

Brownian bridge; Change point; Consistency; Weak approximations; Wiener process

Indexed keywords

EID: 1842832047     PISSN: 00949655     EISSN: None     Source Type: Journal    
DOI: 10.1080/0094965031000148703     Document Type: Article

References (10)

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2. Csörgo, M. and Horváth, L. (1997). Limit Theorems in Change-Point Analysis. John Wiley, Chichester.
3. _(1988a). Nonparametric methods for changepoint problems. Handbook of Statistics, Vol. 7. Elsevier Science Publishers B. V., North-Holland, pp. 403-425.
4. _ (1988b). Invariance principles for changepoint problems. Journal of Multivariate Analysis, 27, 151-168.
5. Csörgo;, M., Csörgo, S., Horváth, L. and Mason, D. M. (1986). Normal and stable convergence of integral functions of the empirical distribution function. Annals of Probability, 14, 86-118.
6. Eastwood, B. J. and Eastwood, V. R. (1998). Tabulating weighted functionals of Brownian bridges via Monte Carlo simulation. In: Szyszkowicz, B. (Ed.), Asymptotic Methods in Probability and Statistics - A Volume in Honour of Miklós Csörgo, Elsevier Science B. V., Amsterdam.
7. Kolmogorov, A. N. (1933). On the empirical determination of a distribution law. English version of Kolmogorov (1933a). In: Shiryayev, A. N. (Ed.), Mathematics and Its Applications (19..), Selected Works of A. N. Kolmogorov, Vol. II: Probability Theory and Mathematical Statistics, Kluwer Academic Publishers.
8. Orasch, M. (1999). Testing multiple changes. Limit Theorems in Probability and Statistics. Bolyai Society Mathematical Studies (to appear).
9. Smirnov, N. (1948). Table for estimating the goodness of fit of empirical distributions. Ann. Metham. Statist., 19, 179-281.
10. Szyszkowicz, B. (1991). Weighted stochastic processes under contiguous alternatives. Mathematics Reports of the Academy of Science, XIII(5), 211-215.