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On Tests for Detecting Change in the Multivariate Mean

  • M. S. Srivastava
Part of the NATO Advanced study Institutes Series book series (ASIC, volume 79)

Summary

We consider tests based on one observation on each of N ≥ 2 random vectors x 1,…,x N to decide if the mean vectors μ of the x i’s are all equal against the alternative that a change has occurred at some unknown point r, (i.e., μ 1 = μ2 =… = μ rμ r+1 =…= μ N). The x i’s are assumed to be normally distributed with common unknown covariance. An estimate of the change point r is also given.

Key Words

detecting a change point multivariate mean likelihood ratio test and estimate distribution of test statistics 

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Copyright information

© D. Reidel Publishing Company 1981

Authors and Affiliations

  • M. S. Srivastava
    • 1
  1. 1.Department of StatisticsUniversity of TorontoTorontoCanada

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