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Transformations of Gaussian random fields to Brownian sheet and nonparametric change-point tests

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  • McKeague, Ian W.
  • Sun, Yanqing

Abstract

It is shown that three important Gaussian random fields arising in statistics can be transformed to Brownian sheet. The Kiefer process, the tied-down Brownian sheet, and the 4-sided tied-down Brownian sheet are treated in this fashion. An application to change-point analysis is developed.

Suggested Citation

  • McKeague, Ian W. & Sun, Yanqing, 1996. "Transformations of Gaussian random fields to Brownian sheet and nonparametric change-point tests," Statistics & Probability Letters, Elsevier, vol. 28(4), pages 311-319, August.
    • Handle: RePEc:eee:stapro:v:28:y:1996:i:4:p:311-319
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    References listed on IDEAS

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    1. Deheuvels, Paul, 1981. "An asymptotic decomposition for multivariate distribution-free tests of independence," Journal of Multivariate Analysis, Elsevier, vol. 11(1), pages 102-113, March.
    2. Szyszkowicz, Barbara, 1994. "Weak convergence of weighted empirical type processes under contiguous and changepoint alternatives," Stochastic Processes and their Applications, Elsevier, vol. 50(2), pages 281-313, April.
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    Cited by:

    1. Rasmus Erlemann & Richard Lockhart & Rihan Yao, 2022. "Cramér‐von Mises tests for change points," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 49(2), pages 802-830, June.

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