A Data-driven Change-point Estimator
Applications
2020-10-26 v1 Statistics Theory
Statistics Theory
Abstract
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.
Cite
@article{arxiv.2010.12449,
title = {A Data-driven Change-point Estimator},
author = {Stefanie Schwaar},
journal= {arXiv preprint arXiv:2010.12449},
year = {2020}
}