Bootstrap for change point detection
Statistics Theory
2017-10-23 v1 Statistics Theory
Abstract
In Change point detection task Likelihood Ratio Test (LRT) is sequentially applied in a sliding window procedure. Its high values indicate changes of parametric distribution in the data sequence. Correspondingly LRT values require predefined bound for their maximum. The maximum value has unknown distribution and may be calibrated with multiplier bootstrap. Bootstrap procedure convolves independent components of the Likelihood function with random weights, that enables to estimate empirically LRT distribution. For this empirical distribution of the LRT we show convergence rates to the real maximum value distribution.
Cite
@article{arxiv.1710.07285,
title = {Bootstrap for change point detection},
author = {Nazar Buzun and Valeriy Avanesov},
journal= {arXiv preprint arXiv:1710.07285},
year = {2017}
}
Comments
arXiv admin note: text overlap with arXiv:1507.05034 by other authors