Estimation of Change-point Models
Probability
2018-05-09 v3
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.
Cite
@article{arxiv.1805.00239,
title = {Estimation of Change-point Models},
author = {Long Bai},
journal= {arXiv preprint arXiv:1805.00239},
year = {2018}
}