Assessing the Distribution Consistency of Sequential Data

Abstract : Given n observations, we study the consistency of a batch of k new observations, in terms of their distribution function. We propose a non-parametric, non-likelihood test based on Edgeworth expansion of the distribution function. The keypoint is to approximate the distribution of the n+k observations by the distribution of n-k among the n observations. Edgeworth expansion gives the correcting term and the rate of convergence. We also study the discrete distribution case, for which Cramèr's condition of smoothness is not satisfied. The rate of convergence for the various cases are compared.
Type de document :
Pré-publication, Document de travail
20 pages, 0 figures. 2009
Liste complète des métadonnées

https://hal.archives-ouvertes.fr/hal-00391682
Contributeur : Mahendra Mariadassou <>
Soumis le : jeudi 4 juin 2009 - 14:45:09
Dernière modification le : mardi 11 octobre 2016 - 14:22:23
Document(s) archivé(s) le : jeudi 10 juin 2010 - 21:10:42

Fichiers

HAL_MaBa.pdf
Fichiers produits par l'(les) auteur(s)

Identifiants

  • HAL Id : hal-00391682, version 1
  • ARXIV : 0906.0989

Collections

Citation

Mahendra Mariadassou, Avner Bar-Hen. Assessing the Distribution Consistency of Sequential Data. 20 pages, 0 figures. 2009. <hal-00391682>

Partager

Métriques

Consultations de
la notice

90

Téléchargements du document

27