On Tests for Detecting Change in the Multivariate Mean
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 r ≠ μ 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 Wordsdetecting a change point multivariate mean likelihood ratio test and estimate distribution of test statistics
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