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Biometrika 1990 77(4):835-843; doi:10.1093/biomet/77.4.835
© 1990 by Biometrika Trust
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A problem with the likelihood ratio test for a change-point hazard rate model

ROBIN HENDERSON

Department of Mathematics and Statistics, University of Newcastle-upon-Tyne Newcastle upon Tyne NE1 7RU, U.K.

A likelihood ratio test for constant hazard against a step change alternative has received considerable attention in recent years. Additional information in the maximum likelihood estimate of the change-point can seriously affect interpretation of test results. Some simple modifications are considered for which exact percentage points can be derived. Monte Carlo power and mean squared error comparisons are encouraging.

Key Words: Change-point • Consistent estimator • Hazard rate • Sufficient partition • Weighted likelihood ratio


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T. Martinussen and T. H. Scheike
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Biometrika, December 1, 2007; 94(4): 861 - 872.
[Abstract] [PDF]


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