Distribution Approximations for Cusum and Cusumsq Statistics

• Authors: Habibi Reza
• Languages of publication: EN

Abstracts

EN

The cumulative sum (cusum) is an important statistics in testing for a change point. This paper is concerned with the distribution approximations to the cusum statistic under the null and alternative hypotheses. We also consider distribution approximations for the cumulative sum of squares (cusumsq) test statistics. Finally, a discussion section is given.

Keywords

EN

Beta approximated; Change point; Cumulative sum; Cumulative sum of squares Multivariate normal; Response surface regression

• Publisher: Główny Urząd Statystyczny
• Journal: Statistics in Transition new series
• Year: 2010
• Volume: 11
• Issue: 3
• Pages: 158-168

Contributors

author

Habibi Reza

• Central Bank of Iran

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