A nonparametric test for the change of the density function under association

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2007

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Li, D.
Lin, Z.

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Journal of Nonparametric Statistics, 2007; 19(1):1-12

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Degui Li and Zhengyan Lin

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In this paper, we consider the problem of testing for a change of the marginal density of a strictly stationary sequence Xn, n≥1, which is either associated or negatively associated. The test statistic is constructed based on the sequential kernel estimate of the density function. We first establish a functional central limit theorem for the kernel density estimator under appropriate conditions. Then, we show that the limiting distribution of the test statistic is a functional of independent Brownian bridges.

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