Change-point model for a sequence of random variables with independent increments.

Dariush Ghorbanzadeh (1) , Rachid Lounes (2, 3) , Hector de Arazoza (4, 5)

1 CEDRIC - LAETITIA - CEDRIC. Traitement du signal et architectures électroniques
2 MAP5 - Mathématiques Appliquées à Paris 5
3 UPD5 Mathématiques Informatique - Université Paris Descartes - UFR de Mathématiques et Informatique
4 MATCOM - Matematica y Computacion
5 Facultad de Matematica y Computacion

In this paper, we consider a sequence of random variables with independent increments which can change their distribution at some unknown instant. We use this model with two different data sets.

Mots clés: Kolmogorov test.; independent increments; Brownian Bridge; Kolmogorov test; Change-point

Domaines: Statistiques [math.ST]; Santé publique et épidémiologie

Dariush Ghorbanzadeh, Rachid Lounes, Hector de Arazoza. Change-point model for a sequence of random variables with independent increments.. Student, 2002, 4 (1), pp.95-104. ⟨hal-00264156⟩