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Detecting a Scale Shift in a Random Sequence at an Unknown Time Point
Author(s) -
Talwar Prem P.,
Gentle James E.
Publication year - 1981
Publication title -
journal of the royal statistical society: series c (applied statistics)
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.205
H-Index - 72
eISSN - 1467-9876
pISSN - 0035-9254
DOI - 10.2307/2346356
Subject(s) - scale (ratio) , sequence (biology) , point (geometry) , time sequence , mathematics , computer science , algorithm , geography , cartography , geometry , biology , genetics
S ummary A simple test for scale shift is proposed and studied. The test is robust for heavy‐tailed distributions.