On the power of the Kolmogorov test to detect the trend of a Brownian bridge with applications to a change-point problem in regression models
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- Wolfgang Bischoff & Frank Miller, 2000. "Asymptotically Optimal Tests and Optimal Designs for Testing the Mean in Regression Models with Applications to Change-Point Problems," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 52(4), pages 658-679, December.
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Econometrica, Econometric Society, vol. 61(4), pages 821-856, July.
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Cited by:
- Enkelejd Hashorva, 2005. "Asymptotics and Bounds for Multivariate Gaussian Tails," Journal of Theoretical Probability, Springer, vol. 18(1), pages 79-97, January.
- Deng, Pingjin, 2017. "Boundary non-crossing probabilities for Slepian process," Statistics & Probability Letters, Elsevier, vol. 122(C), pages 28-35.
- Bischoff, Wolfgang & Hashorva, Enkelejd, 2005. "A lower bound for boundary crossing probabilities of Brownian bridge/motion with trend," Statistics & Probability Letters, Elsevier, vol. 74(3), pages 265-271, October.
- Pingjin Deng, 2016. "Asymptotic of Non-Crossings probability of Additive Wiener Fields," Papers 1610.07131, arXiv.org.
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Keywords
Brownian bridge with trend Tests of Kolmogorov type Regression models Change-point problem;Statistics
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