The Power of Likelihood Ratio Test for a Change Point in Binomial Distribution

by Open Science Repository Mathematics
(June 2013)

Abstract

Statistically, change point is the location or the time point such that observations follow one distribution up to the point and then another afterwards. Change point problems are encountered in our daily life and in disciplines such as economics, finance, medicine, geology, Literature among others. In this paper, the power of the likelihood ratio tests for a change point in binomial observations whose mean is dependent on the explanatory variables was investigated. Artificial neural network technique was used to estimate the conditional means. It was shown through simulation that the power of the test increases as the size of sample. The test was found to have less power when the change point was near the edges than when the change point is at the centre. The test was more likely to detect a change if the magnitude of the change was large.

Keywords: change point, likelihood ratio test, binomial distribution, power of a test, artificial neural-network.

Full text

The Power of Likelihood Ratio Test for a Change Point in Binomial Distribution