| Article ID: | iaor2006585 |
| Country: | Belarus |
| Volume: | 2 |
| Start Page Number: | 5 |
| End Page Number: | 10 |
| Publication Date: | Jun 2005 |
| Journal: | Mathematical Sciences |
| Authors: | Kharin Yu S., Mikhadiuk A.V. |
| Keywords: | programming: integer, statistics: inference |
The problems of statistical analysis of change points in binary symmetric Markov chains are considered. We construct the ML-estimator of the change point and a test based on the statistic of the maximal relative deviation of the cumulative log likelihood. The asymptotic probability distribution of the test statistics is found. Results of computer modelling are presented.