Publication Cover
Statistics
A Journal of Theoretical and Applied Statistics
Volume 38, 2004 - Issue 1
127
Views
13
CrossRef citations to date
0
Altmetric
Original Articles

Statistical inference of covariance change points in gaussian model

&
Pages 17-28 | Received 17 May 2001, Accepted 23 Sep 2003, Published online: 11 Oct 2011

References

  • Abramowitz M. Stegun I. A. (1965) Handbook of Mathematical Functions Dover Publications New York
  • Anderson T. W. (1984) An Introduction to Multivariate Statistical Analysis 2nd ed. Wiley New York
  • Chen , J. and Gupta , A. K. (1995) . Likelihood procedure for testing change points hypothesis for multivariate Gaussian model . Random Operators and Stochastic Equations , 3 ( 3 ) : 235 – 244 .
  • Chen , J. and Gupta , A. K. (1997) . Testing and locating variance change points with application to stock prices . J. Amer. Statist. Assoc. , 92 : 739 – 747 .
  • Chen J. Gupta A. K. (2000) Parametric Statistical Change Point Analysis Birkhauser Boston
  • Chen , J. and Gupta , A. K. (2001) . On change point detection and estimation . Communications in Statistics-Simulation and Computation , 30 : 665 – 697 .
  • Gupta , A. K. and Chen , J. (1996) . Detecting changes of mean in multidimensional normal sequences with application to literature and geology . Computational Statistics , 11 : 211 – 221 .
  • Gupta , A. K. and Tang , J. (1984) . Distribution of likelihood ratio statistic for testing equality of covariance matrices of multivariate Gaussian models . Biometrika , 71 : 555 – 559 .
  • Gupta A. K. Varga (1993) Elliptically Contoured Models in Statistics Kluwer Academic Publishers Dordrecht
  • Hawkins , D. M. (1992) . Detecting shifts in functions of multivariate location and covariance parameters . J. Statist. Plan. Infer. , 33 : 233 – 244 .
  • Joseph , L. and Wolfson , D. B. (1993) . Maximum likelihood estimation in the multipath change-point problem . Ann. Inst. Statist. Math. , 45 ( 3 ) : 511 – 530 .
  • Krishnaiah , P. R. , Miao , B. Q. and Zhao , L. C. (1990) . Local likelihood method in the problems related to change points . Chin. Ann. Math. , 11B ( 3 ) : 363 – 375 .
  • Schwarz , G. (1978) . Estimating the dimension of a model . Ann. Statist. , 6 : 461 – 464 .
  • Sen A. K. Srivastava M. S. (1980) On tests for detecting change in the multivariate mean Tech. Report No. 3 University of Toronto
  • Srivastava , M. S. and Worsley , K. J. (1986) . Likelihood ratio tests for a change in the multivariate normal mean . J. Amer. Statist. Assoc. , 81 : 199 – 204 .
  • Sugiura , N. (1978) . Further analysis of the data by Akaike’s information criterion and the finite corrections . Commun. Statist. –Theor. Meth. , A7 ( 1 ) : 13 – 26 .
  • Vlachonikolis , I. G. and Vasdekis , V. G. S. (1994) . On a class of change-point models in covariance structures for growth curves and repeated measurements . Commun. Statist. –Theor. Meth. , 23 ( 4 ) : 1087 – 1102 .
  • Vostrikova , L. Ju. (1981) . Detecting ‘disorder’ in multidimensional random processes . Soviet Math Dokl. , 24 : 55 – 59 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.