Related papers: Estimation in a change-point nonlinear quantile mo…
Most studies in real time change-point detection either focus on the linear model or use the CUSUM method under classical assumptions on model errors. This paper considers the sequential change-point detection in a nonlinear quantile model.…
A simultaneous change-point detection and estimation in a piece-wise constant model is a common task in modern statistics. If, in addition, the whole estimation can be performed automatically, in just one single step without going through…
A nonparametric procedure for robust regression estimation and for quantile regression is proposed which is completely data-driven and adapts locally to the regularity of the regression function. This is achieved by considering in each…
A novel approach to quantile estimation in multivariate linear regression models with change-points is proposed: the change-point detection and the model estimation are both performed automatically, by adopting either the quantile fused…
In this paper the problem of retrospective change-point detection and estimation in multivariate linear models is considered. The lower bounds for the error of change-point estimation are proved in different cases (one change-point:…
This paper considers M-estimation of a nonlinear regression model with multiple change-points occuring at unknown times. The multi-phase random design regression model, discontinuous in each change-point, have an arbitrary error $\epsilon$.…
Statistical models incorporating change points are common in practice, especially in the area of biomedicine. This approach is appealing in that a specific parameter is introduced to account for the abrupt change in the response variable…
We consider the problem of locating a jump discontinuity (change-point) in a smooth parametric regression model with a bounded covariate. It is assumed that one can sample the covariate at different values and measure the corresponding…
In the present paper we consider the varying coefficient model which represents a useful tool for exploring dynamic patterns in many applications. Existing methods typically provide asymptotic evaluation of precision of estimation…
This paper is concerned with the detection of multiple change-points in the joint distribution of independent categorical variables. The procedures introduced rely on model selection and are based on a penalized least-squares criterion.…
Machine learning models are often evaluated using point estimates of performance metrics such as accuracy, F1 score, or mean squared error. Such summaries fail to capture the inherent variability induced by stochastic elements of the…
Let $(X_i)_{i=1,...,n}$ be a possibly nonstationary sequence such that $\mathscr{L}(X_i)=P_n$ if $i\leq n\theta$ and $\mathscr{L}(X_i)=Q_n$ if $i>n\theta$, where $0<\theta <1$ is the location of the change-point to be estimated. We…
Quantile regression provides a framework for modeling statistical quantities of interest other than the conditional mean. The regression methodology is well developed for linear models, but less so for nonparametric models. We consider…
Change point analysis has applications in a wide variety of fields. The general problem concerns the inference of a change in distribution for a set of time-ordered observations. Sequential detection is an online version in which new data…
In this paper, two tests, based on CUSUM of the residuals and least squares estimation, are studied to detect in real time a change-point in a nonlinear model. A first test statistic is proposed by extension of a method already used in the…
We consider linear transformation models applied to right censored survival data with a change-point based on a covariate threshold. We establish consistency and weak convergence of the nonparametric maximum lieklihood estimators. The…
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…
Quantile regression is a powerful tool for detecting exposure-outcome associations given covariates across different parts of the outcome's distribution, but has two major limitations when the aim is to infer the effect of an exposure.…
We consider a non-proportional hazards model where the regression coefficient is not constant but piecewise constant. Following Andersen and Gill (1982), we know that a knowledge of the changepoint leads to a relatively straightforward…
A method for change point detection is proposed. We consider a univariate sequence of independent random variables with piecewise constant expectation and variance, apart from which the distribution may vary periodically. We aim to detect…