Advanced Search
MyIDEAS: Login to save this article or follow this journal

On the Rate of Approximations for Maximum Likelihood Tests in Change-Point Models


Author Info

  • Gombay, Edit
  • Horváth, Lajos


We study the asymptotics of maximum-likelihood ratio-type statistics for testing a sequence of observations for no change in parameters against a possible change while some nuisance parameters remain constant over time. We obtain extreme value as well as Gaussian-type approximations for the likelihood ratio. We get necessary and sufficient conditions for the weak convergence of supremum andLp-functionals of the likelihood ration process. We also approximate the maximum likelihood ratio with Ornstein-Uhlenbeck processes and obtain bounds for the rate of approximation. We show that the Ornstein-Uhlenbeck approach is superior to the extreme value limit in case of moderate sample sizes.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL:
Download Restriction: Full text for ScienceDirect subscribers only

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Bibliographic Info

Article provided by Elsevier in its journal Journal of Multivariate Analysis.

Volume (Year): 56 (1996)
Issue (Month): 1 (January)
Pages: 120-152

as in new window
Handle: RePEc:eee:jmvana:v:56:y:1996:i:1:p:120-152

Contact details of provider:
Web page:

Order Information:

Related research

Keywords: likelihood ratio processes maximum likelihood estimators weighted approximations extreme value Brownian bridge (null);


No references listed on IDEAS
You can help add them by filling out this form.


Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. repec:hal:journl:halshs-00368334 is not listed on IDEAS
  2. repec:hal:journl:halshs-00189141 is not listed on IDEAS
  3. Batsidis, A. & Horváth, L. & Martín, N. & Pardo, L. & Zografos, K., 2013. "Change-point detection in multinomial data using phi-divergence test statistics," Journal of Multivariate Analysis, Elsevier, vol. 118(C), pages 53-66.
  4. Dominique Guegan & Jing Zhang, 2010. "Change analysis of a dynamic copula for measuring dependence in multivariate financial data," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00368334, HAL.
  5. Lajos Horváth & Gregory Rice, 2014. "Extensions of some classical methods in change point analysis," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 23(2), pages 219-255, June.
  6. Antoch, Jaromír & Husková, Marie, 2001. "Permutation tests in change point analysis," Statistics & Probability Letters, Elsevier, vol. 53(1), pages 37-46, May.


This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.


Access and download statistics


When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:56:y:1996:i:1:p:120-152. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.