Kybernetika 47 no. 6, 866-879, 2011

Detection of transient change in mean - a linear behavior inside epidemic interval

Daniela Jarušková

Abstract:

A procedure for testing occurrance of a transient change in mean of a sequence is suggested where inside an epidemic interval the mean is a linear function of time points. Asymptotic behavior of considered trimmed maximum-type test statistics is presented. Approximate critical values are obtained using an approximation of exceedance probabilities over a high level by Gaussian fields with a locally stationary structure.

Keywords:

detection of transient change, trimmed maximum-type test statistic, extremes of Gaussian fields

Classification:

62F05, 60G60, 60G70

paper.pdf

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