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A nonparametric test for the change of the density function under association

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Publication details

JournalJournal of Nonparametric Statistics
DatePublished - Jan 2007
Issue number1
Volume19
Number of pages12
Pages (from-to)1-12
Original languageEnglish

Abstract

In this paper, we consider the problem of testing for a change of the marginal density of a strictly stationary sequence {X-n, n >= 1}, which is either associated or negatively associated. The test statistic is constructed based on the sequential kernel estimate of the density function. We first establish a functional central limit theorem for the kernel density estimator under appropriate conditions. Then, we show that the limiting distribution of the test statistic is a functional of independent Brownian bridges.

    Research areas

  • functional central limit theorem, negatively associated random variables, change point, associated random variables, RANDOM-VARIABLES, ASYMPTOTIC NORMALITY, kernel estimate of a density function

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