Transformations Of Gaussian Random Fields To Brownian Sheet And Nonparametric Change-Point Tests
STATISTICS & PROBABILITY LETTERS(1996)
摘要
It is shown that three important Gaussian random fields arising in statistics ean be transformed to Brownian sheet. The Kiefer process, the tied-down Brownian sheet, and the 4-sided tied-down Brownian sheet are treated in this fashion. An application to change-point analysis is developed.
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关键词
innovation martingale, Kiefer process, Tied-down Brownian sheet, change in distribution, Kolmogorov-Smirnov statistics
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