## The Annals of Statistics

### Tests for Change of Parameter at Unknown Times and Distributions of Some Related Functionals on Brownian Motion

Ian B. MacNeill

#### Abstract

Statistics are derived for testing a sequence of observations from an exponential-type distribution for no change in parameter against possible two-sided alternatives involving parameter changes at unknown points. The test statistic can be chosen to have high power against certain of a variety of alternatives. Conditions on functionals on $C\lbrack 0,1\rbrack$ are given under which one can assert that the large sample distribution of the test statistic under the null-hypothesis or an alternative from a range of interesting hypotheses is that of a functional on Brownian Motion. We compute and tabulate distributions for functionals defined by nonnegative weight functions of the form $\psi(s) = as^k, k > -2$. The functionals for $-1 \geqq k > -2$ are not continuous in the uniform topology on $C\lbrack 0, 1\rbrack$.

#### Article information

Source
Ann. Statist., Volume 2, Number 5 (1974), 950-962.

Dates
First available in Project Euclid: 12 April 2007

https://projecteuclid.org/euclid.aos/1176342816

Digital Object Identifier
doi:10.1214/aos/1176342816

Mathematical Reviews number (MathSciNet)
MR426253

Zentralblatt MATH identifier
0289.62059

JSTOR