Data-driven estimation of change-points with mean shift.

Autor: Yang, Wenzhi, Liu, Huanshuo, Wang, Yiwei, Wang, Xuejun
Zdroj: Journal of the Korean Statistical Society; Mar2023, Vol. 52 Issue 1, p130-153, 24p
Abstrakt: Asymptotically linear negative quadrant dependent (ALNQD) sequence is more general than negatively associated (NA) sequence and ρ ∗ -mixing sequence. Based on ALNQD errors, the CUSUM estimator of mean change-point is studied with common conditions. We obtain a limiting distribution of CUSUM estimator, which can be used to judge the existence of mean change-point. Meanwhile, some weak and strong convergence rates are established for the CUSUM estimator of change-point. In addition, a data-driven algorithm of multiple change-point detection is given, which performs better than Lasso algorithm. Last, multiple change-point detection simulations and real data analysis illustrate the accuracy of our results. [ABSTRACT FROM AUTHOR]
Databáze: Supplemental Index
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