Robustness of the likelihood ratio test for detection and estimation of a mean change point in a sequence of elliptically contoured observations
A Batsidis - Statistics, 2010 - Taylor & Francis
Statistics, 2010•Taylor & Francis
The likelihood ratio test (LRT) for testing a mean change after an unknown point in a
sequence of n uncorrelated p-dimensional elliptically contoured distributed observations is
established. It is shown that the LRT has the same form as well as null distribution as in the
multivariate normal case.
sequence of n uncorrelated p-dimensional elliptically contoured distributed observations is
established. It is shown that the LRT has the same form as well as null distribution as in the
multivariate normal case.
The likelihood ratio test (LRT) for testing a mean change after an unknown point in a sequence of n uncorrelated p-dimensional elliptically contoured distributed observations is established. It is shown that the LRT has the same form as well as null distribution as in the multivariate normal case.
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