Estimation of Change-point Models

2018/05/01 by Long Bai, Bai, Long
Mathematics · #Statistical Methods and Inference

paper · pdf · doi:10.48550/arxiv.1805.00239

Abstract

We consider the testing and estimation of change-points, locations where the distribution abruptly changes, in a sequence of observations. Motivated by this problem, in this contribution we first investigate the extremes of Gaussian fields with trend which then help us give asymptotic p-value approximations of the likelihood ratio statistics from change-point models.

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