arXiv Open Access 2020

A Data-driven Change-point Estimator

Stefanie Schwaar

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Abstrak

The q-weighted CUSUM and their corresponding estimator are well known statistics for change-point detection and estimation. They have the difficulty that the performance is highly dependent on the location of the change. An adaptive estimator with data-driven weights is presented to overcome this problem, and it is shown that the corresponding adaptive change-point tests are valid.

Topik & Kata Kunci

stat.AP math.ST

Penulis (1)

Stefanie Schwaar

Format Sitasi

APA MLA BibTeX

Schwaar, S. (2020). A Data-driven Change-point Estimator. https://arxiv.org/abs/2010.12449

Akses Cepat

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Informasi Jurnal

Tahun Terbit: 2020
Bahasa: en
Sumber Database: arXiv
Akses: Open Access ✓